According to local media, several people have been injured by gunfire.
The violence erupted during a stand-off between supporters and opponents of PM Yingluck Shinawatra.
The shots were fired as demonstrators blockaded a building where ballot papers are being stored, in an attempt to prevent their distribution.
Protesters want the government replaced by an unelected “people’s council”.
The opposition has vowed to boycott Sunday’s poll, which is likely to be won by Yingluck Shinawatra.
The incident took place in Bangkok’s Laksi district, a stronghold of the prime minister’s Pheu Thai party.
A number of people could be seen lying injured on the road, as exchanges of gunfire continued, forcing reporters and passers-by to flee for cover.
It was not immediately clear whether those wounded were government supporters or opponents.
The protest movement has vowed to disrupt the election as much as possible, by preventing ballot papers from reaching polling stations.
The army earlier said it would increase the number of troops deployed in Bangkok for the polls on Sunday. Some 10,000 police will also patrol the streets.
The protests began in November, after the lower house backed a controversial amnesty bill that critics said would allow Yingluck Shinawatra’s brother, Thaksin Shinawatra, to return.
Yingluck Shinawatra called early elections to quell the unrest, but demonstrators have vowed to block the poll from going ahead.
Correspondents say one election commissioner has predicted that 10% of polling stations will not be able to open at all on Sunday.
Because of disruption to candidate registration, the elections will also not deliver enough MPs for a quorum in parliament, meaning that by-elections will be needed before a government can be approved, extending the instability.
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