Wash the oranges hot and dry them. Peel the peels thinly and cut into tender strips. Then soften in a small amount of water for 6 to 8 minutes, changing the water two or three times. Rinse the peel strips after they have cooled. Squeeze the oranges and measure out 4 tablespoons of juice. Pass the orange marmalade and the red currant jelly through a fine sieve and mix with the liqueur, Campari, the measured orange juice and the juice of one lemon.
Season the sauce with a little horseradish and cayenne pepper. Mix in the orange peel strips and leave everything to cool for about 2 hours.