Preheat the oven to 200 degrees Celsius. Evenly space your sausages in an ovenproof dish and put in the oven for 20-25 minutes, until cooked through. Turn every 5 minutes.
When the sausages are almost cooked, cut the hot dog buns almost in half lengthways (so that they are still connected at the bottom) and put in the oven for 2 minutes to warm through.
To compile the hot dogs, spread each hot dog bun with 1 tablespoon of piccalilli. Add a sausage to each one. Top each hot dog with three gherkin slices, then crumble the feta evenly over them all. Enjoy immediately!