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Shishamo (Saltwater Smelt) is a Japanese delicacy and is grilled or fried whole and served with its roe intact.
Shishamo (ししゃも) is a saltwater smelt about 15 cm in length. The Shishamo is a Japanese delicacy and is grilled or fried whole and served with its roe intact (ko mochi shishamo 子持ちししゃも).
You can find Shishamo in Japanese or Asian grocery stores and usually sold in a package like this.