Light the BBQ to the medium-high heat. I've only made this on a gas BBQ and for me, this is about 75% of maximum heat.
Place the peppers skin side down and BBQ until skins are black and splitting.
Remove peppers from grill and put in resealable bag (or bowl and cover with cling film) to cool.
When cool enough to handle, remove the skins and slice the peppers into two or three chunky strips each.
Turn the BBQ down to medium heat.
Carefully lift the mushrooms out of the marinade and put stem side up (preferably with some marinade sticking in the stem) on the BBQ.
Cook mushrooms 3 - 5 minutes and then flip over - BE CAREFUL IF THE OIL IN THE MARINADE CATCHES FIRE - and cook on gill side down for an additional 3 - 5 minutes or until the mushrooms are cooked through.
Remove the mushrooms from the BBQ and put them back in the marinade pan. Rest the mushrooms for at least ten minutes before assembling.
Brush each side of the halloumi slices with a wee bit of olive oil (just to prevent sticking) and grill on medium until they start to colour.
Flip the halloumi over and brown on the other side.
Remove halloumi from grill and set aside.