Preheat your grill to medium. Drizzle your filet steak with a little olive oil, kosher salt and freshly ground pepper. Grill steak on both sides until you have reached your desired doneness. I prefer to take it off when it's just beyond medium rare (still a little pink inside). Let rest on a cutting board for a few minutes, then slice into slider-sized pieces.
Assemble the sliders: on the bottom half of the rolls, layer tomato > filet > basil leaf > burrata > bacon, then top with the top halves of the rolls. Secure with cocktail sticks, if desired. Serve and eat immediately.
Notes
*Burrata cheese can be found in the gourmet cheese section of your market. It comes shaped as a "ball" floating in tub full of water (just like fresh mozzarella). It's wonderful and creamy, but you can also substitute sliced fresh mozzarella for this recipe.