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Using a mandolin or a sharp knife, shred the fennel into thin slices.
Remove the skin of the oranges with a knife and gently cut out the segments. Do this over a bowl to catch all the juice for the dressing. Squeeze any excess from the oranges after they have been segmented.
Tip the onion into a bowl with the fennel, orange segments and rocket leaves.
To make the dressing, combine the juice from the oranges with the olive oil and mustard. Drizzle over the salad and serve.