The Masquerades of Spring by Ben Aaronovitch

Meet Augustus Berrycloth-Young—fop, flaneur, and Englishman abroad—as he chronicles the Jazz Age from his perch atop the city that never sleeps.

That is, until his old friend Thomas Nightingale arrives, pursuing a rather mysterious affair concerning an old saxophone—which will take Gussie from his warm bed, to the cold shores of Long Island, and down to the jazz clubs where music, magic, and madness haunt the shadows . . .