I had high hopes for the Urumqi bazaar, but was greatly disappointed. The bazaars in Hotan and Kashgar are much more interesting.
The Urumqi International Bazaar is located in 4 newish buildings with escalators, fluorescent lights, etc. It is more like a mall than a bazaar.
Be aware that if you buy a knife (there are many locally made knife stores), you will not be able to get it home. You cannot ship by mail, FedEx, UPS, etc. And if you put it in your luggage, the security at the airport or train station will find it and take it away. I know - it happened to me twice.
If you are going to Kashgar, that is the bazaar to see!
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