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.
In a medium saucepan, cover the grain of choice with 2 inches of water. Bring to a boil, cover and simmer over moderately low heat until tender, about 25 minutes. Drain and let cool for about 10 minutes.
Finely grate 1 tsp. zest from 1 orange; set aside. Using a sharp knife cut all peel and white pith from all 2 oranges. Cut between membranes to release segments into a medium bowl; discard membranes.
In a bowl whisk together zest, lemon juice, vinegar, garlic, oil, salt and fennel fronds.
Toss the grains, citrus, fennel and nuts (if using). Add vinaigrette and toss again.