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Chicago’s McDonald’s Thanksgiving Parade began in 1934 to lift the spirits of city residents during the Great Depression. Now it’s a holiday tradition in the Windy City. This year’s grand marshal, actor and director David Arquette, will lead a parade of floats, equestrian units, balloons and marching bands through the architectural wonders of downtown Chicago. The procession starts at 8 a.m. at State Street and Congress Parkway, and concludes around 11 a.m. several blocks north at Randolph Street.