Peel and chop them into small cubes about 1cm in size.
Grate the zest off the orange and then take off the white pith and slice into the segments so you get the flesh without any of the membrane. Reserve any juice you can.
Put all the ingredients into a pan and heat slowly to dissolve sugar. Raise heat to boiling then lower to a simmer and cook for approximately an hour until all fruit is soft. Use a potato masher to break it down.
Remove bay leaf and cinnamon stick.
Spoon into sterilized jars and pop on the lids.
Once opened it will keep for up to a month in the fridge.