A 31-year-old man has been arrested on suspicion of rape in connection with the incident and remains in police custody.
Officers were called to Cricklade Street at 2.15am after a woman reported being sexually assaulted in an alleyway near the car park of Tesco.
The victim is being supported by specialist officers and a scene guard is in place.
Anyone with information is asked to complete an online form quoting incident 65 of 8 August.
Information can also be submitted by calling 101 and quoting the same incident number.