There is a market on the Marigot waterfront and I believe the fish is available on Wed. & Sat. but you need to get there EARLY.
Simpson Bay has something of a fish market across from the police station near the drawbridge. Honestly, I have never seen much there and they don't seem to do a lot of business.
Not sure about getting your fish filleted. You could ask but a lot of local fish is served whole.
Skipjacks in Simpson Bay is another option.
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