Market Day is a practice of having a dealers room open for only one day. It is typically used when a convention decides they can not afford the space (or expense) of having a dedicated dealers room for the entire convention. Obviously, a dedicated dealers room is preferable, but carries a significant cost, including the opportunity cost of not being able to use the space for programming (which can be a big factor in small venues). Several Swancons have run a market day.
Typically, this will be on the Saturday of the convention.
An in-between position is that a few dealers may wish to deal for the whole convention, with a larger number of dealers coming only on market day.