Mix together the anchovies, garlic, tomatoes and pesto.
Put the peppers on a baking sheet, cut sides up, and fill with the anchovy mixture. Lay a slice of haloumi over each and drizzle over the oil.
Cook in a preheated oven, 220°C (425°F), Gas Mark 7, for 20–25 minutes until the peppers are tender and the cheese is golden.
Top with the rocket, scatter over the pine nuts and serve.