Yes, it is possible, but none of the templates support this out of the box and I can not program this functionality for you.
I see you’re modifying the Market template to attempt to accomplish this. Here are some tips to help. You can not use the permalinks in the checkbox values. You must use the category ID as the value and passed as array. You will then need to modify the setCategory() method in the market.php file to accept the array of category ID/s and set the category_in option rather than the category att option being set.