The story is set in London, England, in October 1890. This is late Victorian England, when the telephone and automobile were still brand new technology. Holmes has clearly been a detective for a while, and Watson has been chronicling their adventures well enough to be well-known. The story takes place in one day.
“A considerable crime is in contemplation. I have every reason to believe that we shall be in time to stop it. But to-day being Saturday rather complicates matters. I shall want your help to-night.” (p. 14)
The places are mostly Number 4 Baker St, Holmes’s house, Mr. Wilson’s shop, and St. James's Hall where Holmes listens to music. Finally, the story ends up in the bank next door to Mr. Wilson’s shop, where the robbery is taking place.