Start this recipe by preparing the pastry. Sift together the flour, baking and icing sugar in a large bowl. Add in the butter and rub together with your fingers till the mixture resembles breadcrumbs. Add the orange zest, fresh orange juice and egg yolks and mix together till you have a smooth soft pastry. Wrap up the pastry in cling film and chill in the fridge for 30 minutes. Meanwhile, you can also prepare the almond filling. Place all the ingredients together in a large bowl and bind together with your hands to form a soft marzipan. Make sure the mixture is not sticky. Once the pastry has chilled and you have prepared the almond filling, you can start preparing the almond fingers. Roll out the pastry on a floured work surface to a large rectangle 6mm in thickness. Roll out the almond filling on a work surface dusted with icing sugar to the same thickness, the same length as the pastry but half the width. Brush the pastry with a little water using a pastry brush and place the almond filling on top in the middle. Brush the almond filling with a little water and wrap over the excess pastry on both sides. Press the seams together well and turn the whole thing upside down so that the seam is at the bottom. Cut the filled pastry into small fingers 3cm in width and brush the top with a little water. Sprinkle over the chopped almonds and sugar and carefully place the almond fingers on baking sheets lined with non-stick paper. Bake in the oven at 200`c for 25-30 minutes, or until the almond fingers are a light golden colour. Remove them from the oven and place on a wire rack to cool down completely before serving.