Heat oven to 350 degrees. Spread almonds on a baking sheet and toast until brown and fragrant, 8 to 10 minutes. Leave oven on. When almonds have cooled, chop coarsely.
Meanwhile, in a large bowl, toss broccoli and cauliflower with 4 tablespoons olive oil, salt and pepper. Spread on two baking sheets and roast until tender, 20 to 30 minutes.
In a large bowl, mix shallot and vinegar and set aside for 5 minutes. Whisk in anchovies, lemon juice, remaining 6 tablespoons olive oil, and salt and pepper to taste. Stir in almonds and parsley.
Remove vegetables from oven, add to bowl and toss with sauce. Taste and add more salt, pepper, vinegar or lemon, if needed. Serve warm or at room temperature.