In a medium saucepan bring the dates, sugar, water, lemon zest and orange zest to the boil. Boil for 3 minutes, stirring constantly, then remove from the heat and set aside to cool.
Preheat the oven to 170 C / Gas 3. Grease a 20x30cm baking tin.
In a medium bowl, stir together the oats, flour, bicarbonate of soda, dark brown soft sugar and cinnamon. Stir in the walnuts and melted butter. Mixture will be somewhat crumbly. Press half of the mixture into the bottom of the prepared tin. Spread the date filling evenly over the base. Crumble the rest of the crust mixture over the filling and pat down slightly.
Bake for 25 to 30 minutes in the preheated oven. Cut into bars while warm. Dust with icing sugar when cooled.