 On 2 July 2014 , it was announced there would be a special episode broadcast between the third and fourth series . Filming began on 5 January 2015 and wrapped on 10 February 2015 . Moffat confirmed the episode is set in Victorian London saying , " The special is its own thing . We wouldn ’ t have done the story we ’ re doing , and the way we ’ re doing it , if we didn ’ t have this special . It ’ s not part of the run of three episodes . So we had this to do it … It ’ s kind of in its own little bubble . " 
