In celebration, in 1924, employees organized a Christmas parade featuring "floats, bands, animals from the zoo and 10,000 onlookers," according to a Macy's history page. It also started way up at 145th Street, about 70 blocks north of where it will begin in 2015. The parade concluded with Santa Claus and the unveiling of the store's Christmas windows. Three years later, the Christmas Parade was renamed the Thanksgiving Day Parade.
Macy's didn't invent the practice. Philadelphia has the oldest Thanksgiving Day parade: Its Gimbels Thanksgiving Day Parade, now the 6ABC - Dunkin' Donuts Thanksgiving Day Parade, debuted in 1920.