Place the shallots in a heatproof bowl, cover with boiling water and leave to stand for 2 minutes. Drain and rinse in cold water. Peel away the skins, leaving the shallots whole.
Scatter the shallots in a roasting tin with the beetroot, potatoes and fennel. Drizzle with 3 tablespoons of the olive oil and roast in a preheated oven, 220°C (425°F), Gas Mark 7, for 45–50 minutes or until the vegetables are lightly roasted. Add the rosemary sprigs and garlic after half an hour of cooking.
Season the halibut steaks on both sides and lay over the vegetables. Return the roasting tin to the oven for a further 15 minutes or until the fish is cooked through.
Chop the anchovy fillets finely and whisk with the remaining olive oil, lemon juice, parsley and a little salt and pepper in a bowl to make a dressing.
Pile the halibut and vegetables on to warmed serving plates and spoon the dressing over the fish to serve.