Joe ... that´s one thing I had to try and do once .. crossing Gran Vía during the parade . Apart from the sheer volume of people , I had to dodge drag queens , lesbian drummers , half naked guys ... It was a real obstacle course but I managed it eventually ! Jejejeje . If you´ve not been before , I´d suggest staying the Retiro Park side of the parade so at least you have a wide open space to dive into if it gets too much . I always go to Banco de España for my photos but , man , it´s hectic !