[Idiom] The exchange is going down!

[emp0608]

Hi folks,
Could anybody tell me what “The exchange is going down” mean? It is uttered by Detective Al Mullins in The Golden Girls Season 2, Episode 24, when he is rushing to the Golden Girls’ new next-door neighbor, the McDowells, who are stolen jewelry dealers. Al has been bugging their conversations in the middle of night and suddenly gets up and shouts to his associate Bobby, “Bobby, let's go! The exchange is going down! Move it!”

Thanks as always.

 

[Rover_KE]

In this context, 'going down' means 'taking place' or 'in progress'.