Place the fish fillets in the egg and buttermilk mixture. Now, the Cambridge sauce. In a small bowl combine egg, anchovy fillets, capers, chopped herbs, Dijon mustard, vinegar, cayenne, and salt and pepper. Stir and mash together thoroughly. Then gradually add the oil and incorporate completely. You should end up with a mayonnaise type consistency. Place vegetable oil in a deep saute pan to come no more than 1/3 up the side of the pan. Heat until a deep fat fry thermometer registers 350 degrees. Meanwhile, in a shallow bowl combine the flour and cornmeal, and season with the Creole spice. Coat the fish fillets with the flour mixture. Carefully drop the fish fillets into the saute pan and fry until golden, about 8 minutes. Meanwhile, spread the bread slices with a generous coating of the Cambridge sauce. Remove the fish from the pan and drain on paper towels. Place each piece on a slice of bread and top with another slice. Garnish with the pickles.