Preheat the oven to 220C/425F/Gas 7.
For the orange and fennel salad, trim off the base of the fennel bulb with a knife, then shave the fennel into very thin slices using a mandoline.
Immerse the fennel slices in a bowl of iced water and leave to soak and crisp up for 10-12 minutes.
Meanwhile, peel the orange, following the curve of the fruit.
Hold the peeled orange over a sieve set on top of a bowl to catch the juices, and cut along the membranes to remove the flesh of each orange segment.
Squeeze out any juice from the pulp into the bowl and discard the pulp.
Repeat the segmenting and juice collecting process with the grapefruit. Place the orange and grapefruit segments into a bowl and set aside.
Whisk the collected citrus juices with the olive oil and season, to taste, with salt and freshly ground black pepper.
Drain the fennel slices and mix with the citrus segments. Pour over the dressing and mix well.
For the devilled mackerel, heat the grill to its highest setting.
Using a sharp knife, slash each mackerel at 2cm/1in intervals along both sides, then place into a baking dish.
Mix the butter, cayenne pepper, sweet smoked paprika, coriander, caster sugar, mustard powder and vinegar together in a bowl. Season well with salt and freshly ground black pepper.
Rub the spiced butter all over the mackerels, including inside their cavities.
Place the mackerel onto a grill tray and place under the grill to cook for 4-5 minutes on each side, until the fish is just firm and cooked through.
To serve, place a fish onto each plate and serve with the fennel, grapefruit and orange salad on the side.
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