Hello Dhiraj ,
the ATEMs put their tally-information via Ethernet. For use this Information, you have the following options:
1.) Using BMDs tally interface. The relay outputs closes to ground.
2.) Using arduino microcontoller. With this and a IO / relay card, you may use the I/O-Pins to drive a LED by a transistor amp or the relays to create your individual circuits .
3.) You assign a program for your PC, that read the tally information from network and controls a IO-card.
The most simply way schould be option 1.)
For signaling, you create a circuit with a power spupply, a restor and one (ore more) LED(s). Use the relay as swicher for this sipmle circuit.
I think, you get more details on atemuser.com .