Wash the plums and remove the stones. Cut the plums into quarters and place in a saucepan, mix with sugar (if you like it sweet, add a little more sugar) and vanilla sugar. Add the cinnamon powder and let it steep for an hour.
The sugar draws enough liquid out of the fruit so that no additional juice is required.
After an hour add the cinnamon stick and the Cointreau and bring to the boil. Let simmer for 5 minutes.
After cooling, you can of course eat the compote straight away, but it tastes best if you let it steep for a few hours.
If you fill the compote into jars while it is still hot and close it, it will keep for a while.