Wash the fish inside and out, then pat dry with kitchen paper.
Finely grate half of the zest from the lemon and orange, then slice both fruit thinly. Place the grated zest in a food processor with the fennel, garlic, onion, capers, herbs, a good glug of olive oil and seasoning, and blitz until finely chopped. Pack the mixture into the fish and fold a few lemon and orange slices around it to hold the stuffing in. Tie 3-4 pieces of string around the fish to hold the orange and lemon slices in place. Cut off any excess string and sit the fish on a large plate.
Drizzle the outside of the fish with olive oil and season with salt and pepper. It's now best left at room temperature for about 45 minutes, or in the fridge for up to 4 hours, to allow the stuffing flavours to infuse the fish. If you're short on time you can put it straight on the barbecue.
The easiest way to cook a whole fish is to place it in single-wire fish racks with handles, making it easier to turn over during cooking. Place over medium-hot coals for 15-20 minutes, turning halfway through.
Serve straight away with a lovely green or tomato salad and crusty bread to mop up any fishy juices.