To reiterate, reading briefly on this matter, it may help to file an SEC or NFA complaint as appropriate. That may have more bite in the short term than trying to get a DA to move on a white collar crime.
Are there others involved? You better know the ties the firm has. They might have to fish your body out of the Hudson.
Have a friend (or an investigator) act as a potential client and make an appointment to see them in their office. Or potentially make an appointment with another office on the same floor. Then walk in and serve the firm.
Sounds like you're pursuing a civil case. That's fine, but you also should contact the US Attorney in the state where the company is headquartered.
It would be helpful to know the name of the firm your had your issue with and why they say they refused to return your funds. How long were your a LP there?