Converting a method to async
You need to be very careful when making code like this multithreaded.  Your implementation will compile, and will execute the GetMarketInfoAll() method on another thread, but it may not do what you want.  There are at least two things to consider:


Synchronization:
The lambda function given to ContinueWith can (and often will) be executed on a different thread from the one that called RequestMarketInfo.  The lambda function in your code invokes an event handler, this means that the code inside the event handler may need to synchronize any data it accesses, or you will end up with race conditions and other threading issues.
Thread Affinity:
Similar to the first point, it may be necessary for you to ensure that the event handler is invoked on a certain thread.  If any of the handlers for the OnMarketInfoUpdated event are updating a UI component in Windows Forms, then you will certainly need to perform those updates on the UI thread using Invoke.


You should also note that depending on the type of application you are developing, it may not actually help you to convert this to async.  For example, web applications under heavy load are already using 1 thread per web request, and are often maxed out.  However, I suspect you are using this inside a GUI and are trying to make the UI more responsive while it processes this long running query, in which case converting this to async is a good idea.