I gave brief details of this place in my Madeira holiday write up in the travel section.
Once I get more exact details I will post it here. All I know it is located a few yards from the enterance to the Atlantic Gardens Aparthotel. It is literally carved out of the hill/cliff. If anyone knows the details then please drop me a line.
If you love your seafood, and are not bothered about a plush restaurant then it doesn't get fresher than this. The locals just kept on streaming in which is usually a good sign.
A bit smoky but what the heck.