This is incredible -- serious question -- has anything of this scale been done in the US or Europe? Do we even have the technology?
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It's just expensive and there's no reason to do that unless the city is being actively developed, which Shanghai still is, and older structures are in the way.
e.g. When NYC expanded its subway system for the first time in 50 years in 2017, it cost $2.5 billion per mile. 8-12x more expensive than similar projects in foreign cities.
There might be too much regulation and too much cost and too many meetings and too many contractors and too much political conflict to do many of the feats we did in the 19th and 20th century.