Just eat it with salad, a glass of wine and walk a bit in the days afterwards to compensate.
Ultimately, the reason you want battered fish is that you like the taste of the highly fat-saturated coating. If you accept that, you may as well make sure it tastes good, so use a nice oil that adds flavour. If you use less oil or a healthier-but-flavourless oil, you won't enjoy it as much, so you may as well just steam or bake a plain piece of fish.
As long as you're not eating stuff like this regularly, and you have an otherwise healthy lifestyle, a treat like this will only do you good.