OK, I'll be honest - I haven't actually seen this film fully. When it comes to musicals, unless it has Tim Curry in fishnets or John Belushi wearing sunglasses and a black tie, I am generally not really into them. So apologies if the look isn't a complete doppelganger to Ms Minnelli.
Here is a quick tutorial based on the classic Cabaret look. The first Cabaret opened up in the late 19th Century but became big in America between 1920s-1940s, heavily jazz orientated (with the likes of Peggy Lee and Nina Simone making guest appearances).
The makeup here basically focuses on making your eyes and mouth stand out above all your other features - so it is important to start off with a clear base so use a good coverage foundation. The eye makeup is somewhat linked to a 1920s flapper look - but it uses more bright colours than ashy colours. So you want to keep the eyes well defined and bright at the same time.
False lashes (both top and bottom) are almost a must for this look... and you preferably want them to be long and spiky as this will help to give your eyes a further 'pop'.
Estee Lauder Double Wear Foundation
MAC eyeshadow (Gesso)
Revlon Colorstay Quad (Azure Mist)
Bobbi Brown Gel Liner (Black Ink)
Maybelline The Falsies Mascara
False Lashes (for top and bottom) - doesn't matter which you choose but the spikier the better.
MAC Eye Kohl (Fascinating)
MeMeMe Blush (Coral)
MAC Lip Pencil (Auburn)
MAC Lipstick (Ruby Woo)