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In a small saucepan, simmer raisins and rum until rum is absorbed, about 5 minutes. Set aside to cool.
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Cut a very thin slice off the bottom of each orange so they will stand without rolling. Cut a 3/4-inch thick slice off the top of each, removing any flesh from tops and reserve. With a sharp knife and spoon, remove most of the orange fruit leaving the empty shell.
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Sift together flour, baking soda, baking powder, and salt. In a large bowl with an electric mixer, cream the butter and sugar until fluffy. Beat in eggs, one at a time, and then add vanilla and orange zest. Alternately add flour mixture and buttermilk to batter, starting and ending with the flour mixture. Fold in raisins.
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Fill orange shells two-thirds full with batter and put tops in place. Wrap oranges in foil and arrange on the grill. Cover and bake for 30 minutes.
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Remove foil from oranges and cool on racks at least 15 minutes. Pull off any overflowed batter. Serve.