Remove shrimp shells from shrimp. Set shrimp aside. Place shells into 2 quarts of water and heat on stove on high. When water comes to a boil, set to medium to simmer. Allow to cook another 20 minutes. Then strain shrimp shells from shrimp broth. Set aside.
Place a large pot on high heat. Add in oil, carrots, celery, onion, garlic, and fennel. Saute for 3-5 minutes. Then add in shrimp broth, chicken broth, saffron, tomatoes, salt, and sherry wine. Allow to simmer for at least 2 hours.
Taste broth for seasoning. Add salt and pepper to taste.
Then add in fish, shrimp, and clams. Allow to cook for 3-5 minutes until fish is no longer translucent, shrimp has turned pink, and clams have opened. Serve immediately.
