Plaque   

The Cavalry Club was formed in April 1890 and began life at 127 Piccadilly. Over the years it expanded into 126 and 125 and refurbished the whole site in 1907-9. The Guards Club, founded in 1810, merged in 1975. All this we learnt at the Cavalry and Guards Club but it doesn't tell us the state of 126 in 1899, the date of the painting: was it already part of the club in which case Barraud presumably set up his easel while staying at the club (seems a bit odd) or was it still a private home, in which case was Barraud living here?

We got the answer, via a roundabout route, at Wikipedia: Francis had two brothers, Mark and Herbert (24 August 1845 - 1896) a photographer with studios at a number of addresses including 126 Piccadilly. He died in November 1896 so perhaps Francis inherited the lease on the Piccadilly address and that would explain his presence there in 1899.

It's interesting that Herbert was a photographer. The painting was created after Nipper's death so we'd assumed it was done from drawings but perhaps Herbert had made a photograph and that was the basis for the painting. Perhaps Francis found the photo while sorting his brother's things. Nipper had belonged to the other brother, Mark, who had died in 1887. It's sad to think of Francis painting the dog belonging to one dead brother in the studio of another, recently dead, brother. Maybe we are over-sentimentalising.