Preheat the oven to 350 degrees F.
Clean the sardines, leaving the head intact. Using your thumbnail, remove the spine from head to tail, careful to leave both head and tail intact. Rinse carefully to remove small bones. Set aside.
In a 12 to 14-inch saute pan, add 2 tablespoons extra-virgin olive oil and toss onions, garlic, and peppers. Heat through. Add vinegar and chile pepper stirring constantly, about 3 to 4 minutes. Remove and pour into a large mixing bowl. Add the currants, almonds, parsley, zest and half of orange juice. Mix well and set aside.
In a separate pan add the 1/4 cup of olive oil, anchovy, bread crumbs and toss until golden.
Lay the sardines on their backs, open like books, and place a heaping tablespoon of the bread crumb stuffing in each one. Carefully pinch each sardine closed.
Pour the peppers and onion mixture into a 12 to 14-inch casserole and lay the sardines on top of vegetables with a slice of lemon on each. Drizzle orange juice, place casserole in the oven and roast until just cooked through.
Serve family style with a sprinkle of bread crumb stuffing and pecorino cheese.