Chasing Visions (Cop/Criminal in a steampunk fantasy)

[Spectre]

The deck gave a rumbling shake, tossing you violently against the wall as it pitched to the side. Just as planned, the engines would start stalling and this airship would start to fall to the water below, and the waiting police boats.  There was a clatter just ahead, running steps and a bang as the figure fled to the deck of the party blimp. " This is it, finally have you," you muttered as you regained your balance and push forward.
Lord Warren, the Heights most lavish will be cross to lose his floating ball room, but the criminal known as The Vision will finally be in chains, and would bedevil the citizens of the Heights no longer. The shadow that fugitive that constantly alluded you cast on your police career would finally disappear. You would be a hero, the only person who could catch the thief that plagued the citizens of the Highest Society.
  Bursting through the door, you spot a figure at the edge of the ship, dark against the lights from the ballroom below. " Give it up! You're finished!" You shout and the figure turns to face you. Its a face that you wont forget, seen so many many times from the wrong side of windows, across a packed and panicked ballrooms, glancing back for one last triumphant grin before vanishing into the darkness. That same grin plays on their face and they throw their arms out wide, like a performer, or a dear friend beckoning for a hug. Something isn't right. " Stay there, I wont warn you again!" you say, drawing your revolver. Something snaps below as you level your sights at its chest and  the figure leans back into the open air, tumbling from view. You rush after them but stop sudden as something bright rushes past and startles you to a dead stop.  The sudden flash of colors  was a cluster of decorative balloons, cut loose by they smirking fiend now entangled in the ropes. The helium cluster is rising towards the Heights as fast as your falling to the dark waters below. you raise your arm to fire as the airship dips sharply and you're forced to cling to the side of the ship to avoid slipping of the deck entirely. Vision twists in your direction, blowing you a kiss as they ascend past the cloud cover and out of sight. With your entire force on the water for the failed set up, anywhere in the Heights is free game for the bastard to disappear.  "Damn it,.." you breathe. Beaten again.

Looking to play a cop and criminal story, set in a steampunk world.
The rich and powerful float above it all, in high towers and airships in an area known as the Heights, while the poor are stuck to the ground. A masked thief plagues them in their decadence, exposing misdeeds and ensuring that the wealth will indeed trickle down. This menace has been at large for about a year now and its time it's stopped properly.
You play the cop, the long standing enemy of the thief, caught constantly one step behind.  As the only person to ever get close to The Vision, So called for the confusing and flamboyant nature of their crimes and the knack for disappearing into nothing, you are contracted by the wealthiest and most corrupt of the nobles to catch the thief. But the closer you come to catching the mysterious person, the more you uncover about their activities and it starts become blurry just who is the criminal here.

I do want create a larger world for this story. My thief is the adoptive child of a  middle class pawnshop owner, a friend and an occasional assistant of the officer, and I do intend to stage a "robbery" of the store  if the cop gets too suspicious. I'm also open to ideas of what keeps the gap between the Heights and the regular folk so steep and what the relationship between the heif and the cop will be. please Pm me with interest or ideas.

[Wifeyberk]

This sounds really interesting, is the plan to just build the whole world ad hoc as you venture with the cop? What are your plans on what you'd like from this?