Rinse the mussels in running cold water; remove any remaining beards. Discard any mussels that remain open after handling. Clean the scallops.
Place the shrimp in a bowl of ice water. Rinse and drain the halibut then cut into 1-in. chunks. Rinse and drain the calamari pieces. Return all of the fish to the refrigerator until ready to use.
In an 8-qt. Dutch oven, heat the olive oil over medium heat. Add the bacon and cook until crispy. Remove the bacon and set aside. Remove all but 3 Tbsp. of fat from the pan.
Add the onions, celery and fennel and sauté for 2 - 3 minutes.
Add the yellow peppers, garlic, salt, pepper and bay leaves and continue to sauté until all the vegetables are tender.
Stir in the flour and cook for 1 minute.
Add the wine and stock and bring to a boil, stirring often.
Add the tomatoes then reduce the heat to low and simmer for 20 minutes.
Gently mix the halibut, scallops, calamari and shrimp into the stew. Cover pan and cook for 5 - 6 minutes.
Add the mussels; cook covered for an additional 3 - 4 minutes or until the mussels have opened. (Remove and discard any mussels that have not opened.)
Season the stew to taste with salt and pepper. Sprinkle the lemon juice into the pan and stir in the parsley.
Serve immediately, accompanied by plenty of crusty bread for dipping.