Heat a medium sized sauce pan over medium heat. Once hot, add butter and then the shallots.
Sauté the shallots until translucent, about 2 minutes.
Add the mushrooms and cook until they release their moisture and become tender. This should take about 3 minutes.
Add the peppercorns, thyme and bay leave to the sauce pan and cook for 30 seconds to 1 minute.
Now, add the red wine and reduce by half. This could take 3 - 5 minutes.
Add the Madeira wine and bring the sauce to a boil. As soon as the wine comes to a boil, reduce heat to a simmer.
Add the demi glace to the sauce and whisk until well blended together.
Add the optional heavy cream if you are using it. Will add some extra richness as well as calories.
Reduce this sauce until it is thick enough to coat the back of a metal spoon.
Taste and adjust seasoning with salt and pepper.
Serve over your favorite meats and poultry.