This was quite a fun read. Mick Oberon's quite likeable (if somewhat a cut-out), and the other characters range from dull to extremely interesting, like Eudeagh. Hope to see more of her, and also to see more of Elphaim, too. 
 I know nothing of 1930s Chicago (neither old nor American, heh), but I guess the writer did a good job of making the pulpy writing accessible. 
 I am leaving my guess here as to Mick's real identity, so I can say I called it later on (or not). (view spoiler)[ He's Puck, isn't he? Way obvious... (hide spoiler)]