Add the bread flour, sugar, salt, and dry yeast to a bowl. Warm the water to the touch, then combine it with the egg and pour into the bowl in one go. Whisk everything together with chopsticks.
Knead a little and once the dough has gathered into a ball add the margarine and knead further for roughly 10 minutes. Wrap with cling film and leave to proof until doubled in size.
Whilst the dough is proving, prepare the cookie dough. Cream the margarine in a bowl, add the sugar and mix well.
Add the egg and vanilla essence and mix again. Then sift in the cake flour and fold in gently with a spatula.
Once the dough has gathered into a ball, form it into a log, wrap and let it rest in the fridge.
Once the dough from Step 2 has finished proving, gently punch down, separate into 10, form into balls and leave to rest for 20 minutes. Once it has rested, punch down gently again and re-shape into balls.
Whilst that dough is resting, go back to your cookie dough. Slice into 10 portions and roll into balls.
Place the cookie dough on a piece of cling film and roll into a circle.
Place the ball of bread dough on top of the cookie dough and gently wrap the cookie dough around it.
Put some sugar on a plate and roll the melon bread around on it to coat a little.
Feel free to mark the surface with a knife to get the traditional melon bread pattern or leave it as it is and prove for a second time for 40 minutes. Bake for 17 minutes in an oven preheated to 170℃ for 17 minutes to finish.