For the compote:
1) Heat the olive oil in a large skillet over medium-high heat. Add the onion, garlic, jalapeno, and celery, season with pepper, and cook, stirring, until soft and fragrant, about 4 minutes. Add the tomatoes, olives, and capers and cook, stirring, until hot, about 2 minutes more.
2) Remove from the heat and stir in the lemon juice and parsley. Set aside covered with foil to keep warm.
For the fish:
1) Place a rack 12cm from the grilller element and preheat.
2) Using a sharp knife, slash the bluefish skin to form cross-hatch marks. Transfer the fillets to a foil-lined baking sheet and brush all over with the oil. Season with salt and generously with pepper. Grill the fish skin-side down, until just cooked through, about 5 minutes. (If the skin comes loose during cooking, you may remove and discard it.)
3) Using a metal spatula, transfer the fillets to 4 warmed plates and top with the compote. Serve immediately.