Preheat the oven to 200c/180c fan/Gas 6. Line an 8 inch square baking dish.
In a large bowl, combine all the oat cookie ingredients to form a crumbly cookie type dough (see notes - it should be crumbly but hold shape). Sweet aside half. Push the other half of the mixture into the dish and bake 12 minutes until golden. Remove and let cool. Keep the oven on:
Make the filling by whisking the egg yolks, condensed milk and orange zest and juice (add extract here if using). Pour over the baked cookie base. Add over the remaining cookie mix by crumbling with your hands. The liquid doesn't need to be totally covered, but aim for an even layer.
Bake 25-30 minutes until golden brown. Let cool at least 2 hours before slicing and serving!