In a dish, arrange alternately the cod fillets, orange slices and lemon slices then sprinkle with thyme and drizzle with oil. Repeat until all ingredients are used. Cover with foil and chill in the fridge for an hour.
Preheat the BBQ to a medium-high temperature.
Barbecue the fish for 15 to 20 minutes until it is an even white colour throughout and it flakes easily with a fork.