Try a bocadillo de calamares

The delicious 'bocadillo de calamares' -that is, squid sandwich- is one of the Madrid's icons. It consists of a fresh bread piece filled with squid rings that have been coated in flour and deep-fried in olive oil. Each 'bocadillo' is made on request, giving the battered squid a tasty, just-cooked crunch. If you want to enjoy it like most locals, eat it standing up in a bar.

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