Preheat the oven to 200C/400F/Gas 6.
Heat the olive oil in a pan, add the red onion and fry over a gentle heat for five minutes until softened.
Add the sugar and cook for one minute. Add the balsamic vinegar and cook for three minutes. Set aside to cool slightly.
Place the figs into a small roasting tin. Drizzle with honey and roast in the oven for five minutes.
Lay one circle of filo pastry onto a work surface. Mix the melted butter, crushed walnuts and egg white together in a bowl and then brush over the pastry. Place another sheet of pastry on top and brush with the egg mix again. Repeat with the remaining sheets.
Place the pastry onto a baking sheet. Place in the oven and bake for five minutes, or until crisp.
Remove from the oven and spread with the caramelised onions. Top with the roasted figs and scatter with crumbled Stilton.
Return to the oven for 2-3 minutes, or until the Stilton is beginning to melt. Slide onto a serving plate and serve.