1. Preheat oven to 400°F. Rub chicken skin with I 1/2 teaspoons of butter. Season inside and out with salt and pepper. Cut 1 orange and 1 lemon into quarters and place in chicken cavity. Tie legs together with kitchen string. Place chicken, breast side up, on a rack in a shallow pan. Roast 30 minutes, reduce oven heat to 350°, and continue to roast until an instant-reading thermometer inserted into the thigh registers 180°, 1 1/2 to 2 hours longer
2. While chicken is roasting, grate 2 teaspoons zest from remaining orange and 1 teaspoon zest from remaining lemon. Peel and section orange. In a small non-reactive saucepan, combine orange juice, wine, jelly, mustard, and grated orange and lemon zest. Bring to a boil over medium heat. Dissolve cornstarch in Cognac and stir into sauce. Cook, stirring constantly, until lightly thickened, 1 to 2 minutes.
3. About 30 minutes before chicken is done, brush with some of sauce. Brush again after 15 minutes. Bring remaining sauce to a boil and whisk in remaining 1 1/2 teaspoons butter until melted. Add orange sections and remove from heat.
4. Carve chicken and serve with sauce.