Pulse the rolled oats in a food processor until they are broken up and fine. Combine with the breadcrumbs and set to one side. Heat the vegetable oil in a large heavy-based saucepan to 170°C.
Season the flour and dip the cod chunks in the plain flour and shake off any excess. Dip in the egg and then roll in the breadcrumb and oat mixture.
Deep-fry in batches for 3-4 minutes until golden brown all over. Drain well on kitchen paper and serve in cones made out of nonstick baking paper.