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If you need a fence you just need to join the guild, you can start selling things to their fence without doing the full story. Or if you do enough jobs for Delvin there will be certain NPCs that become fences. If you quit any numbers/bedlam/fishing job that isn't in Windhelm until you have done 5 then do the Summerset Shadows quest you get Niranye as a fence. Shes in quite an open location in Windhelm and easily accessible.