Photograph: Philip Webb
Pare the rind from the oranges and lemon using a potato peeler, leaving the white pith behind. Stack the strips and finely slice diagonally into thin slivers about 2cm long. Bring a small pan of water to the boil, add the zest and shallots and boil for 2 minutes. Drain into a sieve.
Halve and juice the oranges and lemon, then pour into the pan, adding the remaining ingredients and the cooked zest and shallot. Bring to the boil, stirring to blend in the mustard, then simmer over a low heat for 25-30 minutes until syrupy. Transfer to a bowl, cover and leave to cool. The sauce will thicken a little as it cools.
You can make the sauce up to a week ahead; chill.