The Outer Market is a collection of buildings that grew up near the King's palace, outside the warcamps on the Shattered Plains. It is far more disorganized than the markets inside Dalinar's warcamp. The ramshackle buildings, mostly built of stone blocks, grew up without specific planning.
It is a busy place and one of the few where soldiers from all ten warcamps mingle. This became one of the main functions of the market; it is neutral ground where men and women from different warcamps can meet. Also, it provides a market that isn't heavily regulated. (Dalinar eventually steps in to provide some rules when the place begins to show signs of lawlessness.)
Dalinar doesn't like the layout of the Outer Market or its lack of walls. He believes a raid could be catastrophic to it, that it violates the spirit of the Alethi Codes of War. So, his own troops patroll the place, and his scribes watch over it, all at his own cost.