I am a Bangladeshi National. Want to go to Russia but plane fare is about twice about 1200$ for 30 hrs of flight but from India it is only 600$.
So can I go to India with an Indian visa then board the plane for Russia.
Yes this is allowed.
Before 2017, Bangladesh passport holders were required to exit from the same point by which they entered India or apply to have it changed. This restriction was relaxed in 2017, so that major points of entry/exit were excluded from this requirement.
As per new rules, Bangladesh citizens having Indian visa can enter and exit from any of the following designated airports (pretty much most major airports in India)
Ahmedabad; Amousi (Lucknow); Amritsar; Bagdogra; Bangalore; Calicut; Chandigarh; Chennai; Cochin; Coimbatore; Dabolim (Goa); Delhi; Gaya; Guwahati; Hyderabad; Jaipur; Kolkata; Mangalore; Mumbai; Nagpur; Pune; Trichy; Trivandrum and Varanasi
This restriction also does not apply to two land crossings
Benapole-Haridaspur and Darshana-Gede
If you use your visa to enter at a different port of entry (a different land crossing perhaps), then you will have to leave through that crossing only but otherwise there are no such restrictions as of 2019. So you can enter India via Dhaka-Kolkata flight, then take a flight/train to Delhi and exit from Delhi. Note that as per earlier system too you would have been fine as long as you entered India through Delhi itself (Dhaka-Delhi-Russia was fine but Dhaka-Kolkata-Delhi-Russia was not).
Indeed, this is made clear by guidance of Indian Minstry of Home Affairs (Point 8. Entry into India; emphasis added)
Bangladesh nationals traveling to India may be allowed to travel by air/land(Road and Rail)/sea whichever is convenient to the applicant. However, Bangladesh nationals exiting by designated check posts other than the one used for their entry, would be required to produce evidence of having intimated their new exit points at the point of their entry. Nationals of Bangladesh traveling by air/rail/road and desirous of exiting through a check post other than that of entry may, on application, be given a visa specifying the entry and exit points.
Note: The above mentioned entry and exit restrictions will not apply in the case of Bangladeshi nationals entering/exiting the following 24 international airports and 2 land ICPs:
(i) Airports: Ahmedabad, Amousi(Lucknow), Babatpur/Varanasi, Bangalore, Calicut, Chennai, Cochin, Coimbatore, Dabolim (Goa), Delhi, Gaya, Guwahati, Hyderabad, Jaipur, Kolkata, Mangalore, Mumbai, Nagpur, Pune, Amritsar, Trichy, Trivandrum, Bagdogra and Chandigarh.
(ii) Land ICPs: Haridaspur and Gede
Yes of course, if you have the necessary documents to enter both countries and make the travel arrangements yourself for both of them, the Russian authorities don't care which country you're arriving from.
There are very few countries in the world where this would be a problem, like going to Saudi Arabia right after Israel for example, but they wouldn't have a cheap connection between those two to begin with.