Put fish heads in large pot with bay leaves and water. Bring to boil and then slow simmer for 4 hours. Cool completely before straining stock and removing bones. Add fish to stock, simmer until fish floats to surface - extract about half the fish. Fry bacon until crisp. Cool before crumbling - set aside. Fry onions in bacon fat. Set aside.
Put flour in frying pan - stir to light brown. Remove from heat and cool. Puree soup - add to stock. Mix flour and water - slowly add to stock until mixture is medium thickness. Add onions and bacon, Gravy Master and Worcestershire and rum. Season to taste. Simmer for several minutes before serving.