Shell, devein shrimp. Drain and slice water chestnuts. Arrange shrimp, chestnuts, mushrooms, onion, celery, asparagus, and oranges on large tray.
Heat oil in wok or electric skillet. Add onion, celery, salt, pepper, and sugar. Cook, stirring, until vegetables are crisp-tender. Add asparagus and shrimp. Place mushrooms and water chestnuts over shrimp. Sprinkle with soy sauce. Place orange sections on top. Cover, cook until mixture begins to steam.