"I tried to make Fred come with me to-day," Constance was saying; "but he is dining with some kindred spirits at the Café Royal, and then going on to the Gaiety. He said there would be no time." ch. 22
In chapter 22 when Gertrude is sitting with Conny, who is commenting on how she tried to have Fred accompany her but that he was off at a cafe and then the theatre. He, however, had only been on Baker Street since the relations between him and Lucy fell through when Lucy turned down his proposal .
The Gaiety Theatre was known as a popular music hall in London and was first established in 1864 as the Lyceum Theatre (It didn't become the Gaiety Theatre until 1868). It is located on the south end of Aldwych. Since its opening, it has been known as one of London's most famous playhouses and houses musical comedy. It was designed by Italian Renaissance artists but was evetually sold and demolished, a hotel now standing on the site.