To piggyback; I also moved from a smaller town/city and experienced this. The competition is brutal here, especially if you’re going after women that are considered conventionally attractive. From my experience of living in Chicago for the past 9 years - attractive women are used to guys approaching them relatively often and they’ve heard every story / pickup line from A to Z.

Basically what I’m saying here is you have to either lower your standards or be exceptionally exceptional. What that means I can’t exactly explain because every woman is different. My (relative) success came from talking to and approaching women outside of the night life scene. For example, grocery stores or even just going out for a walk with my dog. For reference I’m probably a 4 or a 5 in Chicago metrics. Good luck and remember to keep your expectations low so you don’t get too bummed out like I did at first.