Scrub the oranges and limes with soapy water, rinse thoroughly in clean water and dry. Squeeze the juice out of the oranges into a heavy stainless steel or enamelled saucepan, removing any pips. Scrape the pith out of the orange shells with a teaspoon and discard, then cut the peel into small pieces. Cut the limes into eighths, discarding any pips.
Add the orange peel, lime segments, on