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Make the sauce. Tip the cashews and almonds into a saucepan and just cover with cold water. Boil gently for 20 minutes until slightly softened. Tip the nuts and water into a food processor and blend.
Heat the ghee or butter in a heavy saucepan, add the bay leaf, cardamoms and onion and fry for 8-10 minutes until golden. Add the ginger and chilli and fry for a minute until fragrant. Add the turmeric and fry until the onion turns yellow, which should take another minute. Now stir in the nut purée and cook the paste carefully, stirring regularly until yellow. Pour in 150ml of the fish stock and simmer for 2-3 minutes. As the sauce turns glossy, add the infused saffron, sugar and cream, sprinkle in the garam masala and season with salt. Simmer for a few more minutes. The sauce should be too thick to pour, but thin enough to spoon, so you may need to dilute it with more fish stock. (The sauce can be made up to an hour ahead.)
Tip the prawns into a bowl, and mix in a sprinkling of salt and all the ingredients for the first marinade. If this looks dry, add a drop of water. Set aside for 10 minutes. Heat the oil in a large pan and sear the prawns for 20 seconds so they curl up. Remove and set aside to cool.
Mix ingredients together for the second marinade, toss prawns in it (they can be left for up to 1 hour).
Preheat the oven to fan 180C/conventional 200C/gas 6. Pierce a long wooden skewer through the tail of each prawn and thread it through to the tip of the head. Prop the skewers on a roasting tray and roast for 6-8 minutes until lightly charred. Meanwhile, reheat the sauce and add more stock if it is too thick. Serve the prawns on a large plate in a pool of sauce for people to help themselves, with the extra sauce and pilau rice in bowls.