"Do you really wish to know?" — Spoilers from the books and/or adaptations to follow!
The Rocking Horse was once a well kept[2] toy store in Beauclair's Beauclair Port district. However, after its owner fell into money troubles, it was closed by the authorities.[1]
Dettlaff van der Eretein, knowing it was abandoned, then proceeded to use this store as his base of operations.