How to Make It
In a large saucepan, combine the stock with the shrimp shells and saffron. Squeeze in the lemon, add the half to the saucepan and bring to a simmer. Remove from the heat and let stand for 10 minutes. Strain the broth and discard the solids.
Meanwhile, light a grill. Place a large flameproof skillet on the grill and heat the olive oil in it. Add the chorizo, cover the skillet and close the grill. Cook over high heat until the chorizo is sizzling and lightly browned, about 5 minutes. Add the tomatoes, garlic and smoked paprika, cover the skillet, close the grill and cook, stirring once or twice, until the tomatoes are softened, about 5 minutes. Add the rice and stir to coat with the tomato mixture. Stir in the shrimp broth. Cover the skillet, close the grill and cook until half of the broth has been absorbed, about 10 minutes. Stir in the shrimp, squid and cockles. Cover the skillet, close the grill and cook until the rice is al dente and has formed a crust on the bottom and side of the skillet and the seafood is cooked, about 8 minutes. Fold in the crab, peppers and parsley and cook just until heated through. Serve with hot sauce and lemon wedges.