The movie was filmed in Toronto, where its producers built a simulacrum of 1940s Brooklyn. Said Neal Slavin, "One of my goals was to build a 'Mary Poppins (1964)'-like world, stylizing the setting so that everything looked perfect so that you felt rather than saw the dark underbelly. You're taken in by the prettiness, but you don't trust it." Editor Tariq Anwar, who had worked on the film American Beauty (1999), was chosen by Slavin to achieve this vision.
Photographer Neal Slavin had wanted to direct an adaptation of Arthur Miller's novel "Focus" since he was a student at art school in the 1960s. In the 1990s, Slavin struck a deal with Miller that if a good screenplay could be written, the playwright would grant him permission to adapt the novel. Slavin commissioned playwright Kendrew Lascelles to write the script, and after some revisions and suggestions by Miller, the adaptation was approved. One of the changes which Slavin made was his decision to root the film "on the outer edges of surrealism and film noir."
The film was personally financed by Michael Bloomberg, a friend of Neal Slavin's who was a candidate for mayor of New York City at the time. Slavin said, "Michael read it in one day, called me and said, 'Let's do it.' This movie happened because of him. And it wasn't like he just put the money down and walked away. He was involved in the inspiration every step of the way."