This should really be called the Gray Chess Set as it belonged to my mother's parents (I know no more) and came to her, then to me. The pieces appear to be ivory, the "black" ones are stained red. They are complete, although one of the rooks was broken and has been glued back together, and one of the pawns has lost its head (but I still have it, as you can see in the image). They all unscrew apart into several pieces, and some of the detail work is minute. My grandfather, Francis Gray, was in the British Army in India in the 1920s, and may have got the set there.
The nearest match I could find on the Internet was the set which is apparently the same as the set once owned by Captain Cook, and held at the National Maritime Museum, but once again, we British are not allowed to look at it without paying. Who do these people think they are, that they own our history, rather than are simply custodians of it? I make this rant again in my site. The set would have been made between 1820 and 1880 in India.
I have to be honest here, and say that I fired off an indignant e-mail to the NMM and recieved a very polite reply from the picture librarian along with three images of Captain Cook's chess set. So I was able to compare the sets and decide mine and Cook's are different. I still feel the images should be available to the casual visitor to the web-site, but the lady was very kind in helping me out, so I cannot complain too much.
Latterly, I did find an exact match to my set at www.carters.com.au who sold theirs some time ago for an unknown price, which they described as "A Victorian turned ivory chess set, mid 19th century. King height 8.8 cm". There was no more information on it. I do believe it went for many hundreds of pounds. I keep looking for an appropriate antique board that I can put with it.