I have 1-min e-mini data for several years back. How do I found all rollovers dates? Thanks in advance!
1. Obtain daily data (1 bar == 1 trading day) which includes volume and open interest. CSI is one vendor who sells this, and I'm sure there are others. 2. Find the days when open interest dramatically shifts from the old month to the new month. (80%, 20%) becomes (20%, 80%) in one day. 3. Write down these dates. 4. Done.