Yes, it seems like the "New Rot Fai Market at Ratchada" behind the Esplanade Shopping center on Ratchadapisek Road. (I think it may have previously been near Chatuchak?)
http://www.bangkok.com/magazine/rot-...t-ratchada.htm
Map link
Or, it could be the larger talad (market) rot fai (train) out on Srinakarin Road behind Seacon Square which I think operates Thu-Sun.
http://www.bangkok.com/shopping-mark...fai-market.htm
(I once saw some forlorn German tourists in Seacon, but they were looking for the Railroad market - Maeklong - in Samut Songkhram, and they were confused when I told them that train market was ~ 100 Km away.)