As a city watch, he patrolled the King's Landing Day and Night. He knew of all the whispers and rumours... So when he heard two of the Silk Street girls whispering about a witch, he knew he had to take action. When he asked the two girl what they knew, they told him everything that they heard...

That's how he found himself in one of the dark alleyways in the bad parts of King's Landing. He didn't wear his usual armour, he was incognito, trying to gain more information