On a day in 1903 in New York City
In May of 1903, five black entertainers assembled at the American Mutoscope and Biograph studio in New York City (the company, founded in 1895 was open until 1928. In 1991 the company was reincorporated in 1991) and performed two cake walks, which were recorded on film. Additional notes reveal the cake walks may have been performed on the roof of the studio. I found these two clips at the excellent Library of Congress online archive. The original description, d-word and all, goes like this: An amusing cake walk, by a company of New York darkies who excel in this line of work. Because others more knowledgeable than I am on the topic have written about cake walks, I'll direct you to their material. In short, the cake walk originated on plantations where enslaved blacks were given special dispensation to perform dances that mocked the master and missus. It was also performed by free blacks who needed no such permission. According to the essay "'Scuse Me While I Cake...