Preheat the oven to 190°C (fan oven 170°C), gas mark 5.
Halve and stone the fruit. Cut into thick slices and put into a bowl. Stir in the conserve and orange juice.
Roll the pastry out thinly on a lightly floured surface to a rough circle about 25cm (10in) round. Lift onto a baking sheet (it will hang over the edge but don't worry).
Lay the cake slices in an overlapping circle, roughly 18cm (7in) in diameter in the centre of the pastry. Sprinkle with the marzipan and pile the fruit mixture on top.
Now, bring the edges of the puff pastry up and over the fruit., folding and pinching it as you go. The pastry won't cover all the fruit but should form a wide, roughly pleated edge.
Brush the pastry with beaten egg and sprinkle generously with the sugar.
Bake the pie in the preheated oven for 40-45 minutes or until puffed and deep golden brown. Allow to cool for 10 minutes before serving as the fruit juices become very hot.
Finish with a good ready-made hot or chilled vanilla custard, ice cream or chilled single cream
Prepare the pie to the point that it is ready to go in the oven, up to 1 day ahead. Keep loosely covered in the fridge.
The Madeira cake soaks up the juices from the cooking fruit. Any favourite sponge can be used: try lemon drizzle cake.
Any firm fruit and conserve can be used in this way – try sliced apple with peach conserve or pear with apricot conserve.
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