'E' Cambridgeshire (Kelly, 1896)
ds 'D' Squadron Norfolk Yeomanry
‘3rd Volunteer Battalion (Cambridgeshire) Suffolk Regiment; E Company Orderly room, Great Church street (Kelly, 1896)

‘VOLUNTEERS 3rd Volunteer Battalion (Cambridgeshire) Suffolk Regiment (E Company); Orderly Room, Corn Exchange.’ (Kelly, 1900) The Corn Exchange is on the junction of North Brink and Old Market adjacent to the old Town Bridge. This building is still there and in use for civic purposes

Some sources suggest that there was a drill hall at 4 North Terrace until 1902, which was later rebuilt as Sandylands. However, local memory recalls only the Sandyland Drill Hall, which has been demolished. The site is occupied by a superstore.

Thank you to Chris Harley for the additional insights.