Fire up your grill for indirect cooking. Bring a large pot of lightly salted water to a boil and prepare an ice bath. I fill a large bowl with cold water and add ice. When I'm ready to use the ice bath I put whatever I am shocking (asparagus in this case) into a colander that fits into the bowl. This allows for the cold water to stop the cooking process. I can then lift the colander up and drain the vegetables.
Add the asparagus to the boiling water and boil for 3-4 minutes. Immediately drain and transfer to the ice bath until cooled. Drain well then dry on paper towels.
Combine the vinegar, orange juice, oil, soy sauce and pepper in a shallow baking dish with a whisk. Add asparagus, toss to coat, and marinate for 30 minutes.
Grill asparagus for 3-5 minutes on each side or until done. I prefer to use a grill basket since it keeps the asparagus from falling thru the grates.