Cut the lemons and oranges into thin slices, removing any seeds.
Thinly slice the fennel.
Wash and dry the rocket leaves and tear them into small pieces.
Chill all ingredients while making the Toasted Sesame Dressing: heat the sesame oil in a small pan over medium heat. Add the sesame seeds and cook, stirring constantly until lightly golden. Remove from heat and cool. Pour mixture into a small container. Whisk in the white wine vinegar and mustard, and season with salt and black pepper.
Combine the fruit, fennel, rocket, pecans, and olives in a shallow serving bowl. Drizzle with the dressing.