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According to This is Gloucestershire, Sherlock is filming on Suffolk Parade, near Suffolk Square in Cheltenham, Gloucestershire, UK on April 2, 2013.
The shoot was expected to begin today, April 1, and continue through Tuesday evening.
Sherlock stars Benedict Cumberbatch in the title role with Martin Freeman playing Watson.
If you spot Sherlock filming on location, let us know about it at email@example.com!