Preheat the oven to gas 6, 200˚C, fan 180˚C. Heat the oil in a large frying pan, add the leek and cook for 5 minutes.
Add the chorizo and cook for another 5 minutes. Add the butter, allowing it to melt, then stir in the flour. Cook for 2 minutes then slowly pour in the milk, stirring constantly, and simmer until thickened. Season and stir in gherkins, capers, parsley and fish.
Divide the mixture between 2 individual pie dishes. Brush the rim of the dish with egg. Cut thin strips of pastry and stick around the edge, then brush the pastry edges with egg and place a sheet of pastry on top of each pie.
Brush the lids with egg, make a little hole in each to allow the steam to escape and bake in the oven for 20-25 minutes until golden brown.
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