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To make the paste, blend the first nine ingredients in a blender or food processor. Gradually add the lime juice and ¼ cup of olive oil while blending until smooth.
For the stock, heat a heavy-bottomed pot until it's smoking. Add the shrimp shells and cook, stirring frequently, for 6 to 8 minutes until they are toasted.
Pour in the white wine and let it reduce by half. Then add the diced onion, tomato, and water. Bring the mixture to a boil, then reduce the heat and let it simmer for 45 minutes. Strain the stock afterward.
To cook the shrimp, heat 1 tablespoon of olive oil in a skillet. Mix in 2 tablespoons of the achiote paste into the hot oil.
Add half of the shrimp to the skillet and stir to coat them evenly with the paste. Pour in ½ cup of the shrimp stock and cook for about 5 minutes, or until the shrimp are no longer translucent. Transfer the cooked shrimp to a bowl and set aside.
Repeat the cooking process with the remaining shrimp.
For assembly, divide the mache and frisee among six plates. In a medium bowl, combine the cooked shrimp with the orange segments and sliced scallions.
Distribute the shrimp mixture evenly across the plates. Garnish with additional scallions and toasted almonds. The shrimp can be served either hot or cold.