"It was about the time of the Horse Fair"
Appleby Horse Fair
Creative Commons AttributionAppleby Horse Fair - Credit: francis mckee

Horse fairs are annual gatherings of gypsy and traveller families to buy horses, meet with relatives and celebrate their culture.

The largest horse fair in Europe is the Appleby horse fair in Cumbria. But there is also an annual horse fair in Stow-on-the-Wold in Gloucestershire, which is close to Oxford and therefore possibly the one Lyra is referring to.