Place the shallots in a saucepan with the olive oil, cook over a low heat until softened and beginning to caramelised, this will take around 20 minutes.
Add the sugar, orange juice and zest and the vinegar, continue cooking until the liquid has reduced a little, around 7-10 minutes, allow to cool.
Spoon into a sterilised jam jar, cover and store in the fridge. Eat within 1 week.
Serve cold with cheese or cold meats, or warm and serve as a delicious topping for steak or gammon.