Preheat the oven to 450°. In a medium saucepan, heat 1 tablespoon of the olive oil. Add the reserved shrimp shells and cook over moderately high heat, stirring, until bright pink, about 3 minutes. Add the water, cover and simmer over moderate heat for 5 minutes. Add the cockles, cover and cook until the cockle shells open, about 3 minutes; discard any cockles that do not open. Strain the shellfish broth through a colander set over a bowl. Remove the cockles from their shells and reserve them separately in a small bowl.