The following information comes from 'A Royal Family' by Anna Lerche and Marcus Mandal :
"The lavish wedding was held in St.Petersburg and followed by a ball at the Winter Palace. ... Here the Tsar could easily give parties accommodating up to 3000 people. The wealth was unimaginable." (p.172) - hardly surprising then that the King and Queen of Denmark could not compete.
"The bride's parents did not attend the wedding. They simply could not afford to mingle with the extravagant, imperial Russians and plainly did not wish to appear as the poor in-laws from provincial Denmark. King Christian IX and Queen Louise settled for an inexpensive solution : they sent a number of telegrams and exchanged honours with the Russians. On the other hand the new generation of Glucksburgs were handsomely represented in St. Petersburg. Dagmar's favourite sister, Alexandra, was expecting and had to stay in Britain, but her husband, the Prince of Wales, appeared as the first-ever British royal representative in the Russian empire. Also present was Dagmar's eldest brother, Crown Prince Frederik (VIII) of Denmark." (p.172-173)
On page 173 there is a colour reproduction of the painting of the wedding.