Add it all to a shaker, with the slicers somewhere in the middle w.r.t the ice. Shake vigorously to get all the juice out of the orange slices. Don't worry if you get a bit more orange juice.
Strain (this is important! Get that pulp out since we're going to use sparkling water) into a highball with ice and the top up with sparkling water.
Verdict
The orange pairs so well with the rye. Straining is important to get rid of the pulp.