REPORT: Wigan Athletic 4 Sheffield Wednesday 1
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The Owls were a goal up inside four minutes as Ben Heneghan's header took a big deflection on its way past Ben Amos.
McClean lobbed just wide before he levelled the scores midway through the first half, taking advantage of a woeful backpass to wrongfoot Wednesday goalkeeper David Stockdale before slotting into an empty net.
Stockdale then made partial amends by pulling off a superb save to deny McClean, before Josh Windass wasted a golden opportunity to equalise right on half-time.
Tom Naylor headed Latics in front within six minutes of the restart from McClean's pinpoint corner, the ball being half-cleared from behind the goalline before Josh Magennis made doubly sure.
Magennis did score 10 minutes from time, when he headed home another pinpoint McClean delivery.
And goal number four arrived in the last minute when Thelo Aasgaard - one of half a dozen substitutes introduced five minutes earlier - rounded off the scoring.