Cut off the top and bottom of the oranges. Use a teaspoon to remove all the flesh and set it aside in a big bowl. Cut the orange peel in quarters.
Use a thin sharp knife (I use the fish filleting knife) to remove as much as possible of the white pith, then finely chop the orange peel.
Transfer the flesh in a food processor and blitz it for a couple of times. Do this in smaller batches if your food processor doesn't have a big capacity. Strain the juice and set aside the remaining membranes.
Transfer all the juice in a big pan and add the water. Place the membranes in a muslin cloth, tie it up with string and add it to the pan of juice. Leave over night to soak.
The following day remove the muslin bag (squeeze out all the juice), bring the pan to the boil, then turn the heat down and let it simmer until reduced by a third. Use a slotted spoon to remove the scum formed during simmering.
Add the sugar and continue simmering until it reaches the setting point.
Transfer to clean jars and seal with new caps.