To make the butter, heat the olive oil over a medium heat and fry the shallots and garlic until soft. Set aside to cool.
Combine the shallot mixture with the chillies, capers, anchovy paste, Worcestershire and tomato sauces, herbs, spices, mustard, zest of the whole lemon and juice of half, blood orange zest. Add cayenne and salt and pepper to taste. Mix well then stir through the softened butter.
To make the milk bread, in a large bowl, combine the dry ingredients with the tangzhong and softened butter and mix.
Add the eggs and milk and mix again.
Turn out onto a clean surface and knead for 10 minutes.
Roll into balls, place on a baking tray, loosely covered and leave in a warm place to prove for an hour.
Preheat the oven to 200C/180C Fan/Gas 6.
Place the dough balls into small loaf tins and bake for 8–10 minutes.
Remove the bread from the oven, glaze with some butter and set aside.
To make the cockles, discard any cockles with broken shells and any that refuse to close when tapped. Heat a large lidded saucepan over a medium-high heat and add the cockles, broccoli and wine to the pan and cook for 2–3 minutes until cooked. Discard any cockles that remain closed.
Drain the cockles and coat them with the Cafe de Paris butter.
Serve with the brioche alongside.
