Four men were seen on CCTV in the town centre to be on a roofof three-story building.
Alarms were reported to have gone off before at around 5am, prior to the men being spotted on cameras at around 6.15am.
Two men have given themselves up and have been arrested on suspicion of attempted burglary, while two men remain on the roof.
They have been throwing coins, stones and other objects towards people on the ground.
Guildhall Street and Westgate remain sealed off to drivers and pedestrians by police.
Incident being watched by people ariving for work.