Heat oil in a soup pot or Dutch oven over moderate heat until hot. Add onions and fennel and cook until tender. Add garlic and cook until you can begin to smell the garlic. Add tomatoes, chicken stock, clam juice, orange zest, and saffron. Bring to a boil, reduce heat, and simmer for 45 minutes. If you are making the broth ahead of time, refrigerate. (Improves if made ahead).
Slice scallops in half, horizontally. Cut the fish in 1-inch chunks.
Bring the broth mixture to a boil. Add mussels, cover, and cook about 5 minutes. Add shrimp, cover and cook 2 minutes. Add fish, cover, and cook 3 minutes. Finally, add scallops, cooking 1 minute more. Stir in cilantro or parsley.
Serve with the Parmesan cheese on the side.
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