For the paste: In a blender or food processor, puree first 9 ingredients and then slowly add the lemon juice and 1/4 cup oil.
For stock: Heat a heavy bottomed pot, when smoking add shrimp shells and cook, stirring for 6 to 8 minutes or until shells are toasted. Add wine and reduce by half. Add onion, tomato, and water bring just to a boil and then reduce to a simmer. Simmer slowly for 45 minutes and strain.
Cooking shrimp: Heat 1 tablespoon oil in a skillet. Mix 2 tablespoons achiote paste into hot oil. Add 1/2 of shrimp to hot pan and stir to coat evenly with the paste. Add 1/2 cup shrimp stock and cook for 5 minutes or until the shrimp are no longer translucent. Set aside in a bowl. Repeat process for other half.
Assembly: Place the mache and frisee divided among 6 plates. In a medium size bowl, toss the shrimp with the orange sections, and scallions. Divide shrimp among plates. Top with scallions and toasted almonds. Shrimp can be served hot or cold.