It's the first time I try Shangai Gold. Cool game, I think there's unexplored territory with this setting. I assume you are fighting for/against the triads in some capacity because of the night club and all the tuxedo guys.
The main theme and weapon sounds are good, but I think dogs keep barking after death. They need their own death sound like the tuxedo guys. On the topic of feedback, I think it could be more clear when the player is taking damage.
The weapons are standard, but that's fine. I think the flamethrower doesn't stun enemies which makes it really risky but that weapon is bad in every game so designing one must be an uphill battle.
I think the different colored lights to indicate what key is needed in what area is brilliant and the levels have a great flow as a result while also feeling like natural locations. Green hospital, key behind sewer grate, blue tram going around, etc. It's all good. I didn't even check if there was a minimap because I didn't need it.
In the second stage, the open spaces seem to favor the player more than the enemies because you can easily snipe them from afar with the pistol. The same can be done in corners revealing the shortcomings of the AI which is rather unfortunate. Also, it's a bit too dark underwater.
Great work.