serves: makes 3 dozen cookies
6 tablespoons unsalted butter, very soft
⅓ cup sugar
½ teaspoons salt
¼ cup milk
1 egg yolk
3 tablespoons orange juice
1½ tablespoons lemon juice
Zest of 2 lemons, grated
Zest of 2 oranges, grated
2½ cups all-purpose flour, plus more for rolling the dough
8 cups vegetable oil, for frying
¼ cup confectioners' sugar, or as needed
Blend butter, sugar, and salt in the food processor. Add milk, egg and yolk, citrus juices zests and process everything together until smooth. Scrape down the sides of the bowl, dump in all of the flour and process in pulses until the dough comes together. Clean the bowl again and pulse a few more times to mix thoroughly. Scrape the dough out onto a lightly floured work surface and knead briefly into a soft smooth ball. If it is sticky, knead in more flour in small amounts, Wrap the dough tightly in plastic and chill for 30 - 60 minutes. (You can keep it in the refrigerator up to 1 day but let it return to room temperature before rolling.)
Cut the chilled dough in half and work with one piece at a time. Flatten the dough on a lightly floured work surface and roll it out to a rough square shape, approximately 16 inches on a side. Trim the edges of the square and with a fluted cutter, divide it into 10 strips, about 1 1/2 inches wide. Cut across all the strips in the middle to form 20 ribbons, each about 7 inches long (though they shrink after you cut them).
One at a time, tie each ribbon into a simple overhand knot. Place the knotted crostoli on a sheet lined with parchment or wax paper, leaving room between them so they don't stick to each other. Roll out the second piece of dough; cut and tie the same way. Meanwhile, pour vegetable oil in the pan to a depth of 2 inches. Set over medium heat to gradually reach frying temperature (350 degrees).
When you're ready to start frying, test the oil by dropping in a scrap piece of dough. The oil should bubble actively around the dough but not darken it too quickly. Quickly drop the first batch of crostoli into the fryer. You might need to raise the heat to adjust for a loss in temperature from adding the dough. Don't crowd the cookies, fry only 10 to 12 at a time in a 10-inch pan. The cookies will first drop to the bottom but will soon float to the surface. Turn them frequently with tongs, a spider, or slotted spoon to cook evenly. Fry the crostoli for 4 minutes or so as they color gradually to dark gold. When crisp and golden all over lift and drain them from the oil and then lay on paper towels to cool. Fry the remaining cookies the same way.
Store in a sealed cookie tin or plastic container and keep them dry. To serve, pile the crostoli on a serving plate in a heaping mound. Put the confectioners' sugar in a small mesh sieve and dust generously over the cookies.