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Finely grate the zest of 1 of the oranges and add to the lemon zest. Mix with the olive oil, then drizzle over the fish and season. Cut the rest of the oranges into slices about 5mm thick. When the coals are ashen, arrange the orange slices over the barbecue in groups the length of each fish. Char the orange slices on 1 side, then flip them over and lay the fish on top of them – this stops the fish sticking. Barbecue the fish for 5-8 mins on each side (turning them carefully), or until the flesh flakes away easily when prodded.
While the fish is barbecuing (or beforehand), make the salad. Put the orange segments in a large bowl with the squeezed juice from the rest of the oranges and the lemon juice. Season and stir in the olive oil. When the fish is cooked, toss the watercress in the orange dressing with the capers and olives. Serve the fish with the salad.