A frost fair was a celebration held on the surface of the River Thames when it froze over. Carnival festivities, shows, games, ice skating, shopping and other celebratory events were held on the open surface of the ice.
An unspecified incarnation of the Doctor, River Song and Stevie Wonder visited the same fair for River's birthday in 1814. Stevie performed for them in private, under one of the bridges. Given his blindness, Wonder was unaware that he had travelled in time. (TV: A Good Man Goes to War)