As Thea zip-lines in to save Roy, you can see BC Place stadium in the background. BC Place is the model for STAR Labs in the Flash and is used for location shots.
The building the Arrow team attacks with the "casino" sign on top (shown 16 min 30 sec into the episode) is actually the old train depot located in downtown Detroit.
The abandoned casino that Diaz is operating out of is the Edgewater Casino in Vancouver which had in fact shut down operations a few months earlier. The roof shots earlier where Thea tires to save Roy from the police are the same location.