Heat a large cast-iron pot (cauldron) over medium-high heat. Sprinkle a saucepan with vegetable oil, put the shells, garlic, onion, and pepper, cook, stirring occasionally, for 3 minutes. Add wine to the cauldron, cook until the liquid has completely evaporated, about 3 minutes. Then add 6 glasses of water, bring the mixture to a boil, reduce heat and cook for about 40 minutes (about 3 glasses of liquid should remain). Strain the broth, remove the rest. Wipe the pot with a paper towel.
Put the cauldron over medium-high heat, add butter, let it melt, and then add flour, and cook, stirring occasionally, for about 1 minute. Gradually, stirring with a whisk, add 1 glass of broth. Then pour in the remaining 2 cups of broth, cream, add 1/2 teaspoon of salt and saffron, bring the mixture to a boil. Cook, stirring occasionally until slightly thickened, about 5 minutes. Put shrimp and fish pieces in a saucepan, add 1/2 teaspoon of salt. Reduce heat and cook shrimp and fish soup for about 3 minutes, until seafood is done. Remove the pot from the stove.
Pour about 2/3 cups of soup into each of 6 serving bowls, and 1 1/2 teaspoons of cilantro, and 1 1/2 tablespoons of avocado into each bowl of fish soup with shrimp.