In Kaliningrad, as through the entire Russian Federation, there is a ban on the sale of alcohol after 22:00.

Supermarkets act according to the letter of the law and will close their alcohol sections promptly at that time. If you are looking to buy alcohol later than that, however, there are a few shops centred mainly around Pl. Pobedy and Prospekt Mira where you can pick something up. These stores get around the alcohol ban by having bar licenses and will therefore continue to serve. There is one problem though. To legally serve you they have to open the bottle before giving it to you.