Toss the peppers in a bowl with 1 tablespoon of olive oil and a little bit of salt. Over a gas burner or on a hot grill roast the peppers until charred all over on all sides. Remove and place in a bowl then cover tightly with plastic wrap. Once cooled, remove the seeds and peel the skin off of the peppers.
In a sauce pot over medium high heat add the roasted peppers, heavy cream, and rosemary. Simmer until reduced by about one third. Remove from heat season with salt and pepper and take out the rosemary. Once cooled slightly puree in a blender or food processor until very smooth. Return to the pot, cover, and keep warm.
Cut the halibut into 6 long rectangular pieces about 2" wide and 2" thick. Season with salt and pepper. Lay the bacon on a work surface so that the edges of each slice overlap just a little, using enough slices to extend the length of the halibut pieces. Place the fish on one side of the loose ends of the bacon and carefully roll to wrap tightly with the bacon. Trim off the bacon when necessary so as not to use more than what is needed to create one wrap around the fish that overlaps by about 1" on the underside.
Heat a skillet over medium high heat and add 1 tablespoon of olive oil. When hot but not smoking, place the wrapped fish pieces in and cook until golden on all sides, about 2 minutes per side. Remove and place onto a baking pan with a rack inside.
Cook in the oven until firm and the center is fully cooked,about 5 minutes, test by cutting into one piece. Remove and let rest for a few minutes.
Carefully arrange the fish neatly on a platter, drizzle with the sauce and serve.