According to Chicago's Famous Buildings, 1965, this building was the first building to be built entirely on long piles driven to a layer of stiff clay more than fifty feet below the surface.  The train shed is an example of the glass and iron construction of the time, allowing maximum lightness and openess.
Appears as #9 in this Rand McNally 1893 3-D map at the Univ. of Illinois at Chicago:
http://tigger.uic.edu/depts/ahaa/imagebase/intranet/chiviews/page177.html