If you're using a Big Green Egg, make sure to use the Direct set-up with the stainless-steel grill and plancha in place (or cast-iron grid if you have one).Target temperature: 160–190°C.
Mix the fennel and shallots in a bowl, stir in 1 teaspoon of salt and leave for 20 minutes, then rinse and drain.
Add the garlic, capers, parsley, lemon zest and juice, vinegar and olive oil to the fennel and shallot mixture, adding salt and pepper to taste.
Make 5–6 deep slashes in either side of each fish and season generously inside and out with salt and pepper, then rub in.
4 tablespoons of the fennel mixture, getting some inside the belly cavity. Allow to marinate for at least 15 minutes.
Lightly oil the outside of the fish then place them on the grill and close the lid. Cook for 7–8 minutes, then carefully turn the fish over and cook for another 7–8 minutes, or until the meat is opaque and can lift away from the bone.
Serve the fish with the remaining fennel mixture on the side.