Heat 1 tablespoon of the oil in a large frying pan, add half the livers and cook for 2–3 minutes, turning once, until firm and just cooked through. Remove from the pan and set aside. Repeat with the remaining livers.
Add another 1 tablespoon of the oil to the pan, add the shallot and cook for 3–5 minutes until softened. Return the livers to the pan with the sherry and cook for a couple of minutes until the liquid has reduced.
Meanwhile, whisk together the vinegar and remaining oil in a bowl, add the rocket and toss together. Arrange the rocket on serving plates, spoon over the warm livers and sauce and serve.