Cut one of the blood oranges in half and squeeze the juice into a small bowl. Using a sharp paring knife, cut the skin and the white pith off the remaining two oranges. Cut in between the membranes of each segment to remove them from the orange. Do this over the bowl with the juice to capture any excess juice. After removing the segments squeeze what's left of the orange to get all the juice out.

In another bowl, whisk together the shallots, wine vinegar and olive oil. Season with salt and pepper. Gently stir in the blood orange juice and segments. Spoon the vinaigrette over the grilled asparagus. This dish can be served warm, or at room temperature.