The guards are trained to a substantial level, no, we haven't maxed our weapon and armour skills, but it's my belief that maxed weapons/armour would/should be very rare, and that the levels we have trained to are competent. Competent to the point where I have defeated in a duel someone with a maxed weapon. Though I personally hate duels.
Let's be realistic. If someone comes to the market and steals something because you crashed, relogged and forgot to make sure things were all tied down, there's nothing we can do if they decline our challenges and run off, even if our weapons and armour were maxed. I'd prefer to avoid duelling wannabe thieves during the markets too, it's messy and would take away from the RP atmosphere of the markets...
But we'd be more than happy to RP using typical /me and /me roleplaying, as long as there's no godmodding. The whole idea of these markets is to be a market, not a battleground.
Another idea as to why the small fee would be worthwhile: I'm thinking we could make booklets featuring all paying merchants at the markets, sort of a "Guide to the Market" which lists all merchants and what they sell, along with a slogan or motto.... It would in my opinion add extra value to the markets, make things easy for customers, and add even more RP atmosphere. Thoughts?
