I use so-called 'pallet boxes' for hayfeeding. These are very strong plastic boxes in different sizes. Pallet boxes can be obtained with sides and bottom closed (can also be used for water) or with slots. The one in the picture has small slots.
I tied ropes in every bottom corner, which can be fixed to a 5 x 5 cm grid on top of the hay with snaps (see drawing).

My horses eating from a pallet box hay feeder

The 5 x 5 cm grid

In these drawings you can see how I fix the grid in the pallet box. If I don't, my very smart horsies remove the grid for sure! Usually I fix the grid tight on top of the hay. I do this by pulling the snaps and ropes through the corner meshes of the grid and then snap them a bit further on the grid to tighten it. (Hope I explained it well, English is not my mother tongue ;-)! If something's not clear, please ask.)