North Dorset District Council is selling the land where the cattle are held to supermarket chain Lidl in the hopes of improving the economy in the area.
Final cattle sale takes place at midday, then the pens and gates will be sold afterwards.
The sale is going ahead despite campaigns from the town council to keep the market, and farmers have expressed sadness in seeing it come to an end.
The decision to sell has been backed by the High Court, and future cattle sales will take place at markets in Salisbury or Frome, making it more difficult for Dorset farmers.
However, the NDDC explain they are selling as cattle sales at the market have declined and have been held less frequently.