The LEGO Harry Potter Diagon Alley Set pays respect to the intricacies of the original location, evident in the over 5,000 pieces that comprise the set. Filmed in Leadenhall Market in London, the Diagon Alley LEGO set captures the intricate details of the architecture in the market. The LEGO Harry Potter Diagon Alley Set was released in September 2020 for a retail price of $400.