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Heat oven to 200C/180C fan/gas 6. Toss the artichokes, olive oil and half the orange juice in a large roasting tin. Season well, and roast for 45 mins, turning halfway through, until tender and turning golden.
Meanwhile, use a serrated knife to remove the skin and pith from the remaining oranges, then segment the flesh or cut into thin wheels. Put the Sherry vinegar, remaining orange juice, the extra virgin olive oil and honey in a jug and whisk to combine. Season to taste.
Scatter the nuts and cumin over the artichokes and roast for another 5 mins until the nuts are just golden and the cumin aromatic. Remove from the oven, cool briefly, then gently fold in the orange, feta, parsley and dressing. Serve in the tin or pile onto a platter.