I could be wrong, since I'm too butt fucking lazy to go and check, but I'm fairly sure the desc implies that it's located in a grubby brick alleyway with stalls either side of the through-fare.. Just because there's no building locations immediately west of the market besides the road, doesn't mean there isn't some vast brick shithouse of a building sitting there that's not significantly worth exploring. Millions of people, thousands of buildings, the locations you play in just being an abstract sample of the world your character inhabits...
Which is just a load of pointless wordy bollocks to repeat what Johnny already said.