The supermarket you're referring to is Caprabo. If you're at the Astoria Playa, your better bet for a local supermarket (as opposed to tourist ones) is Eroski Syp. It is probably a bit closer (though they are pretty much equidistant), but Syp is usually thought to be better value than Caprabo. From the Astoria, go to the main road (Carretera Arta) and it is on this road about 15 minutes walk going away from Puerto Alcudia towards Playa de Muro.

Tourist supermarkets are always more expensive than the national chain ones, such as Syp or Caprabo.