Grate the skin of the orange to remove the zest, and reserve. Peel the fruit with a paring knife and cut into segments. Reserve.

Peel and finely chop the shallot, and place in a non-reactive saucepan. Add orange zest, white wine, white wine vinegar and freshly squeezed orange juice. Bring to a boil, and reduce on medium heat to almost dry. On low heat, whisk in the cold cubes of butter, whisking constantly to incorporate. Do not boil the sauce. When the butter is melted and incorporated into the sauce, taste and season with salt and white pepper.