Brewer's: Marching Watch
A splendid pageant on Midsummer Eve, which Henry VIII. took Jane Seymour to Mercers' Hall to see. In 1547 Sir John Gresham, the Lord Mayor, restored the pageant, which had been discontinued on account of the sweating sickness.
Source: Dictionary of Phrase and Fable, E. Cobham Brewer, 1894