Preheat your oven to 350°F/180°C/160°C fan/Gas Mark 4
Cut a sheet of greaseproof paper measuring 50cm x 37.5cm
Cut a sheet of foil measuring 55cm x 37.5cm
Add all of your dry ingredients to a bowl and mix well.
Mix your milk with your vanilla essence,
Add your milk mixture to the dry ingredients along with your lemon and orange zest.
Mix thoroughly with a wooden spoon then go in with your hands to ensure all of the dry ingredients and mixed into the wet.
Flour your worksurface to a space of about 25cm x 35cm.
Tip your mixture out onto your floured surface and knead briefly to ensure everything is fully incorporated, This will take about 10 kneads.
Roll the dough out into a rectangle measuring 22cm x 32cm.
Spread your preserve out over the dough, leaving about a 1½ cm gap around the edges.
Roll the dough up starting with the 22cm edge.
Press the seam down to seal and squidge the ends together to seal those too.
Place the roly poly into the middle of your greaseproof paper, seam side down and facing that the longest side of the greaseproof paper.
Bring the edges of the greaseproof paper together above the roly poly and then fold over several times to form a pleat. make sure there is space between the pleat and the roly poly so that it can expand.
Tie the edges of the greaseproof paper with kitchen string so that it looks like a cracker.
Repeat with the foil.
Half fill a large roasting tin with just boiled water.
Place a rack above the roasting tray of water so it balances on the top, and place the roly poly on top of the rack.
Leave to bake for an hour, when ready the roly poly will have expanded and be hard to touch.
Remove from your oven, remove the foil and greaseproof paper and serve with lashings of hot vanilla custard or ice cream.