Remove the peel from all the oranges and from 2 lemons. Chop the peel into very thin slices and soak in 4 cups of water overnight. Drain the water the next day, making sure to reserve the water.
Cut the oranges into small pieces. Grate or run the carrots through a food chopper. Add the peel and oranges to the chopped carrots. Cook together in as little water as possible until they are tender.
Add the sugar and the reserved water. Cook until thick and clear. Add the juice of the lemons and cook another 5 minutes.