Your key type is a pointer, but your operator< is defined on references.
You need to define an operator< on pointers, but you can't write
operator<(T*,T*), because at least one parameter has to be of a
user-defined type, and all pointer types are considered built-in. So you'll
have to write a comparison class, e.g.

struct DerefLess
{
  template<class T>
  bool operator()(const T* x, const T* y) const
  {
     return *x < *y;
  }
};

This class can take advantage of any type T that defines operator<, and you
could use it like this:

typedef map < MarketKey*, market_item_t*, DerefLess > MarketMap;

Of course, you can write it without using templates or depending on an
operator< defined on MarketKey objects:

struct DerefMarketKeyLess
{
  bool operator()(const MarketKey* x, const MarketKey* y) const
  {
     return x->getMarket() < y->getMarket();
  }
};

There's yet another variant that makes DerefLess a class template whose
operator() is just a normal member function, not a member template.