From website Lidia's Italy.

1½ pounds fresh anchovies
1 pound cherry tomatoes, cut in half
12 bay leaves
1½ cups seasoned breadcrumbs
6 tablespoons extra-virgin olive oil
salt
freshly ground pepper

Note: Your anchovies from Real Good Fish will already have head and guts removed, so you can skip the instructions below for these steps, but you will need to scrape the scales and remove the spines. 

Soak the anchovies briefly in cold water. Drain them and gently scrape the scales from the skin with the back of a paring knife. Remove the heads and innards as follows: Make a cut just behind the head, stopping about two thirds of the way through to the stomach side. (Don't completely cut off the head.) Pull the head away from the body gently with the knife; most of the innards should follow suit. Open up the anchovies by running your thumb along the inside of the stomach cavity. Remove the entire skeleton and scrape away any remaining innards or bones with the back of a paring knife. Wipe gently with a paper towel if you feel there is still some debris attached to the fillets.

Preheat the oven to 375 degrees F. Drizzle a little olive oil into the bottom of an 11-inch oval or 10-inch round baking dish or casserole. Scatter six of the bay leaves over the bottom and top with a thin but even layer of breadcrumbs.

Arrange one third of the anchovy fillets over the breadcrumbs, spacing them evenly. Sprinkle with seasoned breadcrumbs then scatter one-third of the halved tomatoes over the anchovies.

Top the tomatoes with an even layer of the remaining breadcrumbs. Scatter the remaining six bay leaves over that layer, then repeat the anchovy/breadcrumb, tomato/bread crumb, layering two more times with the remaining ingredients.

Press the layered ingredients down gently with a spatula, drizzle the tops with olive oil and bake until the topping is golden brown and the anchovies are cooked through, about 30 minutes.