Using a medium sauce pan, add water, sugar, cinnamon, cranberries, orange marmalade, and vanilla extract. Cook on medium heat for 10 minutes or until the cranberries begin to burst.
You can leave as is, or smash more with a potato masher or immersion blender. Cook for an additional 5 minutes and remove from heat.
The sauce will begin to thicken. Pour into a heat-resistant bowl. Allow to cool off for at least 20 minutes before adding to the refrigerator. Allow the sauce to set in the refrigerator for 4 hours or overnight before serving.