Blend milk with orange pieces and strain. Separate.
Melt butter in a medium size saucepan and add flour. Stir until combined. Add blended milk, stock and chili. and continue stirring until sauce thickens. Stir in orange juice and cook 2 minutes more. Add liquor and cream. Season to taste.
Butter a heatproof serving dish and spread ½ cup of sauce on the bottom. Arrange fish, previously seasoned, and cover with remaining sauce.
Bake in preheated oven to 400°F (200°C) for 10 or 12 minutes or until fish is done.
Serve hot with white rice, potato puree or steamed vegetables.
How to fillet, skin and debone fish