The lore of the Greymarch comes to place when the other Daedric Lords became fearful of Jyggalag, and his immense power. Which lead them to defeat him in battle, and while he lay broken and beaten, casted a curse on the Prince of Order, damning him to exist as the thing he hated the most, a prince who believed in self choice, chaos, and insanity: Sheogorath. However, the resentful Princes declared that once an era Jyggalag could assume his true identity. Where the he would destroy the Shivering Isles
In the 3rd Era, Year 433. Uriel Septim died. Marking the end of the 3rd era, the beginning of the Oblivion Crisis. Sheogorath, aware of the beginning of the Greymarch, opened a door to his era. An invitation, which the Hero of Kvatch would accept.
The Hero would them conquer the guard of the realm. And meet Sheogorath, only to a series of quests revolving on halting Order's plans. After a period of time Sheogorath had begun the transformation , where he would be revert to the logical Jyggalag. In the final moments of Insanity states with disdain that his plan has failed and that he had intended to give him/her his staff. Where Haskill will start a quest to rebuild the staff.
Upon the moment of imbuing the staff either a Mazken or Aurel will appear declaring the final battle has begun.
Sheogorath must rebuild it. The Greymarch begins with large obelisks emerging from the ground. These obelisks are the source of power for Jyggalag's forces, the Knights of Order and the Priests of Order. Hero of Kvatch Jyggalag,