Toast Macadamia nuts in a small skillet over medium-low heat until slightly golden. NOTE: stir constantly, as they will burn quickly if unattended. Set aside and allow nuts to cool completely before chopping. Chop when cool.
Meanwhile, lightly grease a shallow baking dish with olive oil.
In a medium bowl, beat egg with almond or coconut milk and set aside.
Add parsley, sea salt, pepper, and the zest of half the orange into a shallow bowl with the nuts.
Dip each halibut fillet in egg mixture, and coat on both sides, then press halibut in nut mixture. Be sure each fillet is fully coated.
Place fillets in the shallow baking pan, and bake for 15 minutes (or until fish flakes apart with a fork).