Put the rock sugar in a bottle or a screw-top jar. Pour the citrus fruits, cut into small pieces and peeled off, into the bottle.
Pour the orange juice over it. Add the vanilla stick. Baste with the double grain and fill up to the top of the bottle if desired.
Close the bottle. Shake daily until the sugar candy has dissolved. After 2 - 3 weeks, pour the liqueur through a sieve and fill it back into the bottle.