IN or AT ???

Both are equally correct and natural. Although I would say the following:

It's a nice video filmed live in (или at) Royal Albert Hall. ("the" is not part of the hall name)

IN or AT ???

Somebody, help me please help me as to what is correct:

It's a nice live video IN The Royal Albert Hall. or It's a nice live video AT The Royal Albert Hall.

<em>It might be best to say "It's a nice live video of a performance at the Royal Albert Hall".</em>

Thanks.