Carnaval de la Concha Fina Activity · La Línea de la Concepción, Campo de Gibraltar, Cádiz Image of La Línea de la Concepción, not of the place itself. The Carnival of La Línea de la Concepción, known as the Carnaval de la Concha Fina, is held in February or March each year. febrero-marzo Photo: Nathan Harig (CC BY-SA 3.0) What to see and do in La Línea de la Concepción