Crush or grind the spices (star anise, aniseed, fennel seeds, coriander, and cinnamon) in a coffee grinder. Peel the lemon to remove the yellow zest in thin strips, avoiding the white pith.
Add the crushed spices and lemon zest to a large bottle with the rock sugar. Pour the grain schnapps over them and seal the bottle. Let it steep in a warm place (roughly 18-24°C / 65-75°F) for 4 weeks.
Strain the mixture through a fine cloth or filter into a clean bottle. Let the liqueur ripen for at least 1 week before serving.