It's a restaurant/bar on the fifth floor of the old Customs House (which also includes a library with a scale model of Sydney under a glass floor). It's not that expensive and you get a fantastic panoramic view from the Bridge to the Opera House & beyond.
It's not open that late, however only until about 11pm.
31 Alfred Street, Circular Quay, NSW 2000
Telephone: 02 9242 8551
www.cityofsydney.nsw.gov.au/customshouse/index.html or
www.cafesydney.com
Neraest Station/ bus stop/ ferry stop is Circular Quay.
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Try the Moreton Bay Bugs, the Sydney Rock Oysters and the plum frangipane tart with vanilla marscapone - you won't be sorry!