[WARNING: This post may make you lose any remaining faith you had in the railway network in this country]
Recently, Erethorn discovered that by breaking his tickets into two (instead of buying a ticket for the whole of journey A->C, he bought a ticket from A->B and a ticket from B->C) the price did not, as you would expect, go up but instead went
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I have a nasty suspicion that one of the reasons you cannot buy a day return to Birmingham is because they wanted to streamline fares, to minimise the number of tickets available so as to cause less confusion. Obviously this hasn't really worked, and there are still a number of tricks to getting the cheapest train fare possible for your journey.
As I understand it, generally train fares fall into the following categories:
Time categories:
Anytime - this means you can use your train ticket on both peak and off-peak services. Unfortunately, the definition of peak varies depending on what journey you're doing. In general, though, it's defined as before 9.30am on weekdays. Note that, when travelling back from London on First Great Western trains (the standard ones to Paddington), peak also means between 16.00-19.00 on the fast (less than an hour total journey time) trains.
Off-peak - can only be used on trains after 9.30am, and sometimes has occasional weird interactions with London trains (see above). In general, for journeys other than to London all you need to worry about is the after 9.30am limit.
Journey categories (these can be combined with either of the two time categories above):
Return (sometimes called a period return) - valid for a month from day of travel. If you have bought an off-peak one, both journeys will have to made at off-peak times.
Day return - valid only for the day you bought it. Again, may have time restrictions if you buy an off-peak version.
Other:
Routes - sometimes you will be asked which route you want to take. As a general rule, going via London is more expensive, but often quicker, even though it will require changing. However, this only really works if you know, in detail, where the key train stations are and whether your route takes you on them. (For example, getting the train to Gatwick from Guildford, you can either go via Clapham Junction or Gomshall. In cases like this, where you don't know where one of the stations is and you're sufficiently worried/confused, either buy from a real person (who are generally quite helpful) or try to see from the noticeboards where your train is stopping).
Advance tickets - these are often very cheap, are only available as singles, and will restrict you to one particular train. If you miss this train through your own fault, the ticket will be invalid. There's some weird interactions that happen if a delay on a previous train caused you to miss the train you were meant to be on, thus forcing you to take a later train. In general, if you explain this to the people (if they even notice), they won't fine you. I think technically this only works if you're delayed by more than 2 hours. If you have a journey to do and you can buy the advance ticket for say, the outbound leg of the journey (when you're more certain there's a particular train you want to catch), then I think it's generally worth-while doing. The website www.eastcoast.co.uk has a very good ticket buyer that will show you the various pricing options (e.g. is an advance ticket outbound + single ticket inbound > day return ticket cost), and which trains they're valid for. It's also worth noting that on long journeys, two first class advance tickets can sometimes be cheaper than a standard class return.
Seat reservations - some trains have no seat reservations (the little 3 coach trains that run to Paddington from Oxford, for example). In general, if you are buying advance tickets you will be offered a seat reservation. This is quite useful since, given that you have to be on that train for your ticket to be valid, it's nice to actually have a seat. You can, if you wish, book seats for no extra charge for other ticket types (e.g. off-peak returns). This does not confine your ticket to only being valid on that particular train, but does mean that, if you happen to get that train, you will have a seat reserved.
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Mostly I feel very privileged for having grown up using trains regularly, so that I can spout all of this from the top of my head. It is an absolutely ridiculous system and I'm not surprised that people who haven't grown up using it frequently are quite baffled. In comparison to, say, travelling in Vienna (where we used the public transport quite a lot), it's basically Mornington Crescent. Hope my explanations above clear away some of the mystery.
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But yes, it's absurd, and the point you raised about the anxiety it causes is I think the worst part of it. The one or two times delayed trains have made me miss my connection, there hasn't been a problem; normally they recognise that you're not trying to cheat the system, you just want to get home (or wherever else you're going).
Oh, and regarding the many slips of paper: easiest to hang on to all of them! The only one you don't need is the receipt, with the last four digits of your card number on, as it doesn't do anything at all :-)
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