Preheat oven to 425.
In a large bowl, beat together the eggs, milk, salt and pepper.
Dice up the shallots and cut the mushrooms and asparagus into bite sized pieces.
In a large ovenproof saucepan, heat the olive oil over medium high heat and add in the shallots, mushrooms and asparagus. Sprinkle with salt and pepper and sauté until the just begin to soften.
Now pour in the egg mixture and allow to cook over the heat for 2 minutes to set the base.
While cooking, drop in dollops of the goat cheese throughout the pan.
After 2 minutes, put the pan in the oven to bake the frittata through. After 5 minutes, pull out the frittata and spread out the roasted red pepper slices and top with a thin sprinkle of the cheddar cheese. Place back in the oven to finish cooking for another 8 minutes.
Now remove and allow to cool slightly before serving.
Mix together the olive oil, lemon juice, salt and pepper.
Pour desired amount over your lettuce greens and mix to combine.
Serve along side your frittata.