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Buying Train Tickets in Spain

We will be in Madrid in March and are taking some day trips by train while we are there. We prefer to wait until we are there to get tickets so we can take the weather into account. I notice some of the trains are high-speed connections. Would there be any price advantage in buying tickets a day or two in advance? Also, any danger of trains selling out (Segovia & Toledo)?
Thanks!

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Fares on high-speed trains usually are variable, with some often-large savings if you buy the tickets early enough to get the Promo fare (non-refundable, non-changeable). The Promo-fare tickets tend to sell out early, and buying just one or two days in advance will often not make a difference. Even today, if you're looking for March tickets, many trains will have only full-fare tickets left. It's always worth checking, of course.

The Madrid-Toledo train is an exception. The fares on that route do not vary. However, Rick warns in his book that trains back from Toledo late in the day can sell out. He recommends buying the return ticket at the same time as the outbound ticket. I suppose at certain times the tickets from Madrid to Toledo could sell out as well. If you run in to a problem getting a train ticket, there is also bus service available. It's a good bit slower but probably also cheaper. The Toledo trains depart from Madrid's Porta de Atocha station.

Madrid-Segovia fares also don't seem to vary by purchase date, but there are several different types of fast trains running on that route, and you'll want to get tickets on the AVANT. It's just 13.90 euros one way, vs. 24.90 euros on other trains. Travel times vary by only about one minutes. The Segovia trains depart from Madrid-Chamartin.

There is an issue with buying tickets in person in Madrid, however. I don't know anything about the situation at Chamartin, but at Puerta de Atocha the lines at staffed counters selling tickets for long-distance trains are hours long (not an exaggeration). I think (not sure) tickets for Toledo are sold in a different area where the wait wasn't long. Using a vending machine will be considerably faster as long as you don't have a problem with your credit card. I found the machines easy to use back in 2016. However, I think there are two different kinds of machines, selling tickets to different types of destinations (short- and long-distance), so you may need for someone to point you in the right direction. There's usually a uniformed Renfe employee sort of floating around near the ticket machines who can help. If not, look for someone near the gates giving access to the platforms. Or just try a likely-looking machine and see whether it lists tickets to your destination. As you can see, it wouldn't be prudent to show up at the station 15 minutes before your train is due to depart and try to buy the ticket right then and there.