Step 1Place the fish and parts, water, salt, onion, lemon and orange strips, celery, carrot, parsley and thyme in a large pot. Bring to a boil and skim. Partially cover and simmer for 1 hour. Strain the broth through a fine mesh strainer lined with cheesecloth; discard the solids. You should have 8 cups of broth. If you have less than 8, add water to equal 8 cups.
Step 1Soak the bread in the milk until bread is softened. Puree the garlic i Place it in a blender, then add the bread and milk and with the garlic and blend until smooth. With the motor running, blend in the oil, salt, lemon juice and 2 to 3 tablespoons of water to make a sauce the consistency of thick mayonnaise. (The sauce can be prepared in advance and refrigerated; serve it at room temperature.)
Step 2Makes 1 1/4 cups.
Step 1Heat the oil in a 12-inch paella pan over medium heat. Add the garlic, then the tomato and shrimp. Stir in the rice and cook 2 minutes.
Step 2Add 4 cups of Fish Broth. Turn up the heat and bring the liquid to a boil. Mix the saffron and pimenton in the wine. Add to the pan with the salt. Cook the rice on a high heat for 5 minutes. Reduce the heat to medium-low and cook the rice until it is done, another 15 minutes. Stir often to make sure it doesn't stick.
Step 3While the rice cooks, bring the remaining 4 cups of Fish Broth to a boil in another pot. Add the fish filets and fish steaks. Simmer until they are just done, 5 to 8 minutes. Remove the fish and keep it warm on a platter while the rice finishes cooking.
Step 4Serve the rice, fish and All-I-Oli Sauce.