Myra says that, when The Pink Lady closed, she went into The Bing Boys. However, The Pink Lady closed in 1912, and The Bing Boys did not open until 1916.
Although the film is set in 1918 the cast are wearing early-1930s fashions
Near the end, when Roy goes out looking for Myra, the "sky" he walks under can be seen to be quite wrinkled - it's really a canvas backdrop.