When we started planning our Scandinavian trip we knew we were going to be taking it easy on restaurants given the general expense of eating out in Copenhagen.  Luckily, we had a pretty comprehensive grocery store close to the hotel and a wonderful organic bakery with a selection of gluten free items made fresh every day (Naturbageriet).  We also came to discover the very new market-based food hall, Torvehallerne, that was immediately between our main train station and our hotel (how lucky!):

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