Madrid Barajas Aeropuerto: a checked baggage question

I'm flying from Philadelphia to San Sebastaín next week and will be checking a bag. I rarely have checked a bag but this trip includes hiking poles which must be checked. My ticket is on Iberia from PHL to EAS. I depart from PHL via a code share with American Airlines. When I arrive at MAD Terminal 4S must I retrieve my luggage before proceeding to Terminal 4 for my connecting flight Iberian Regional Air Nostrum or will the luggage be transported to my connecting flight? Thanks.