For the film, actress Josie Ho did not work with a script. Director Johnnie To wanted the actors to come to the set with their minds clean, so he could draw whatever he could on them. Ho did not find this method of improvisational acting difficult.
The hotel the characters return to numerous times, and where also the final showdown takes place, was in fact a completely roof-less set built on top of the Milkyway Image (the film's production company) building. Scenes taking place in the hotel were then filmed at night, resulting in an impressive ambient lighting.