Preheat the barbecue until the coals are grey, or heat a gas barbecue to medium.
Cut 4 large squares each of baking parchment and foil. Place the baking parchment on top of the foil, lightly brush with oil and season with salt and freshly ground black pepper.
Cut 3 slits in each side of the fish and stuff with orange slices. Place on the baking parchment.
Mix together the fennel, shallots, dill and remaining orange. Season well, then stuff into the cavities of the sea bass. Fold in the end of the foil and roll up, to form a parcel.
Grill the fish for 20 minutes, turning halfway. Serve with salad.