The US market has this interesting phenomenon that the futures trade in Chicago, but the single stocks trade in New York. For those who are not familiar, this means you can make a bet on the S&P 500 index as a whole in Chicago by buying or selling futures. But if you wanted to replicate the basket, you would go to New York.
Naturally there's a relationship between the two. If the futures are going down, the prices of all the stocks needs to be adjusted. And if you look at stock prices, it turns out quite a lot of any stock price is simply exposure to the market at large. So you really want to know as soon as possible if the market is moving.
Now you might have thought that the index is the index of shares, which is in NYC, so why does it matter what Chicago thinks? Well actually the tail wags the dog in this case. The futures are how people express a view on which way the index is going, and you want to know that view immediately.
How does it actually work? Variants on "if the market goes down, pull all your bid orders". Basically if things are fine you are happy to look at queue position and imbalance as an indicator of whether you want to leave orders to capture spread with. But the moment there's an indication from Chicago that the market is dipping, you forget that and pull your orders. Or if you're really fast dump a sell order on the guy behind you in the queue.
There's a huge amount of stock trading in NY each day, so it's worth your while to have this line that you use to send the warnings down.