If you decide not to worry about blowing through some of your resources, this will be a much more rewarding experience too - blowing up the river krusts with grenades is quite a bit of fun. The level's thesis seems to be to encourage you to constantly be adapting your playstyle as you are threatened from all directions, and with Daud's forces in play staying above the enemy is not as straightforward as usual.
There's assassins on the rooftops, weepers on the streets, and the river krusts waiting to reduce your health to a pip if you're not careful when you exit the water. You are frequently under attack, and should be assessing each street, corner and rooftop carefully. Making a point not to reload when things go south, the first half of this level was like going through an area in Dark Souls. However, it is a pretty noticeable uptick in hostility either way. This time it was done very quickly by possessing first Daud's assassins and then some hagfish to get past everything. I remember the first time I played this mission it took me a long time to get my gear, for exactly that reason. If you haven't been diligent in finding runes, this is going to be a challenging area. If you have an arsenal of powers, you might end up having a lot of fun finding new ways to use them. Reason being, Corvo can still use his powers, so if you've been finding runs you are a pretty big problem even without your gear. This is probably one of my favourite versions of the old trope in games where you get captured and all your stuff is gone.
You begin with your assassin's blade, crossbows, pistol and traps and so on taken away. Having been betrayed by the loyalists, Corvo finds himself poisoned and left for dead, eventually retrieved by the assassins of Daud, who deposit him in a boarded over pit.