This section is from the book "The Complete Cook", by J. M. Sanderson. Also available from Amazon: The Complete Cook.
Cut a slit in the back that they may be thoroughly done. Lay them on a clean gridiron (having greased the bars), over a clear, but rather slow, fire. Sprinkle pepper and salt over them; when thoroughly done on both sides, take them up on a very hot dish without a fish plate. Rub a bit of butter over each fish, and put inside each a little fennel and parsley, scalded and chopped, seasoned with pepper and salt, and a bit of fresh butter. Fennel sauce, parsley and butter.
204. Baked or Pickled Mackerel - Take off the heads; open the fish; take out the roes, and clean them thoroughly; rub the inside with pepper, salt, and allspice, and replace the roes. Pack the fish close in a deep baking pan; cover with equal parts of cold vinegar and water, and two bay leaves. Tie over strong white paper doubled, or still thicker. Let them bake an hour in a slow oven. They may be eaten hot, but will keep ten days or a fortnight. Cold butter, and fresh young fennel (unboiled), are eaten with them. Sprats or herrings may be done in the same way.
 
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