Prepare the barbecue for grilling (direct method) over high heat (230 – 290°C/450 – 550°F)
Cut a 1 cm slice off both ends of each lemon. Cut each lemon in half length ways. Lightly brush the cut sides of the lemons with 1 tablespoon of the oil.
Brush the cooking grates clean. Barbecue the lemons over high heat for 4-6 minutes, with the lid closed as much as possible and turning once, until nicely browned. Remove the lemons from the barbecue and allow to cool. Set two aside for the garnish. Squeeze the lemons through a sieve in to a small bowl. Discard the rinds and seeds. You should have about 1 tablespoon of lemon juice. Add the capers, then whisk in the remaining 3 tablespoons of oil to form a dressing. Whisk in the rest of the dressing ingredients and adjust the seasonings, if necessary.
Mix the rub ingredients in a small bowl.
Generously brush the halibut on both sides with oil and season with the rub. barbecue over high grilling heat for 6-8 minutes, with the barbecue closed as much as possible and turning once, until the halibut just begins to flake when you poke it with the tip of a knife. Whisk the dressing one last time. Serve the fish warm with the dressing poured over the top.