Preheat the oven to 180°C.
Cut the onion and fennel into thin slices then put them in an ovenproof dish. Drizzle with oil and lemon juice, then cut the lemon into slices and tuck these between the vegetables. Season with salt and pepper.
Bake for 10-15 minutes until the veggies are just tender.
Take the dish out of the oven and put the fish on top of the vegetables. Pour over the sherry or wine, season with salt and pepper and drizzle with some oil. Scatter the dill all over the fish
Cover the dish with foil and put it back into the oven for 10-15 minutes. Don’t overcook the fish!
Serve warm.