Wash the limes and the oranges, cut off and discard the ends. Peel the fruit and discard the pith. Cut the peel into fine shreds. Remove the seeds and tie in a cheesecloth bag. Slice the fruit and put it in a preserving pan with the peel and seeds. Add the water, bring to a boil and simmer 1 hour.
Heat the sugar in a very low oven. Stir it into the fruit and boil as fast as possible to the jell point, stirring often. Let the mixture cool slightly, discard the bag of seeds, pour the marmalade into sterilized jars and seal.