I have 1-min e-mini data for several years back. How do I found all rollovers dates? Thanks in advance!
The general rule for rollover is this, taking SP as an example: The S&P futures expire the 3rd Friday of the month in March, June, Sept,and Dec. The day before the 2nd Friday of the month (Thursday) is the day the new contract begins to trade actively. This will usually be the 2nd Thursday of the month, but could be the 1st Thursday of the month if the first day of the month is a Friday - thus I say the day before the 2nd Friday of the month. Here are the rollover dates for the SP. The same dates apply for other equity index contracts (after their introduction) such as the ES, NQ, ND, ER2 etc. SP82H - 12/10/1981 to 03/10/1982 SP82M - 03/11/1982 to 06/09/1982 SP82U - 06/10/1982 to 09/08/1982 SP82Z - 09/09/1982 to 12/08/1982 SP83H - 12/09/1982 to 03/09/1983 SP83M - 03/10/1983 to 06/08/1983 SP83U - 06/09/1983 to 09/07/1983 SP83Z - 09/08/1983 to 12/07/1983 SP84H - 12/08/1983 to 03/07/1984 SP84M - 03/08/1984 to 06/06/1984 SP84U - 06/07/1984 to 09/12/1984 SP84Z - 09/13/1984 to 12/12/1984 SP85H - 12/13/1984 to 03/06/1985 SP85M - 03/07/1985 to 06/12/1985 SP85U - 06/13/1985 to 09/11/1985 SP85Z - 09/12/1985 to 12/11/1985 SP86H - 12/12/1985 to 03/12/1986 SP86M - 03/13/1986 to 06/11/1986 SP86U - 06/12/1986 to 09/10/1986 SP86Z - 09/11/1986 to 12/10/1986 SP87H - 12/11/1986 to 03/11/1987 SP87M - 03/12/1987 to 06/10/1987 SP87U - 06/11/1987 to 09/09/1987 SP87Z - 09/10/1987 to 12/09/1987 SP88H - 12/10/1987 to 03/09/1988 SP88M - 03/10/1988 to 06/08/1988 SP88U - 06/09/1988 to 09/07/1988 SP88Z - 09/08/1988 to 12/07/1988 SP89H - 12/08/1988 to 03/08/1989 SP89M - 03/09/1989 to 06/07/1989 SP89U - 06/08/1989 to 09/06/1989 SP89Z - 09/07/1989 to 12/06/1989 SP90H - 12/07/1989 to 03/07/1990 SP90M - 03/08/1990 to 06/06/1990 SP90U - 06/07/1990 to 09/12/1990 SP90Z - 09/13/1990 to 12/12/1990 SP91H - 12/13/1990 to 03/06/1991 SP91M - 03/07/1991 to 06/12/1991 SP91U - 06/13/1991 to 09/11/1991 SP91Z - 09/12/1991 to 12/11/1991 SP92H - 12/12/1991 to 03/11/1992 SP92M - 03/12/1992 to 06/10/1992 SP92U - 06/11/1992 to 09/09/1992 SP92Z - 09/10/1992 to 12/09/1992 SP93H - 12/10/1992 to 03/10/1993 SP93M - 03/11/1993 to 06/09/1993 SP93U - 06/10/1993 to 09/08/1993 SP93Z - 09/09/1993 to 12/08/1993 SP94H - 12/09/1993 to 03/09/1994 SP94M - 03/10/1994 to 06/08/1994 SP94U - 06/09/1994 to 09/07/1994 SP94Z - 09/08/1994 to 12/07/1994 SP95H - 12/08/1994 to 03/08/1995 SP95M - 03/09/1995 to 06/07/1995 SP95U - 06/08/1995 to 09/06/1995 SP95Z - 09/07/1995 to 12/06/1995 SP96H - 12/07/1995 to 03/06/1996 SP96M - 03/07/1996 to 06/12/1996 SP96U - 06/13/1996 to 09/11/1996 SP96Z - 09/12/1996 to 12/11/1996 SP97H - 12/12/1996 to 03/12/1997 SP97M - 03/13/1997 to 06/11/1997 SP97U - 06/12/1997 to 09/10/1997 SP97Z - 09/11/1997 to 12/10/1997 SP98H - 12/11/1997 to 03/11/1998 SP98M - 03/12/1998 to 06/10/1998 SP98U - 06/11/1998 to 09/09/1998 SP98Z - 09/10/1998 to 12/09/1998 SP99H - 12/10/1998 to 03/10/1999 SP99M - 03/11/1999 to 06/09/1999 SP99U - 06/10/1999 to 09/08/1999 SP99Z - 09/09/1999 to 12/08/1999 SP00H - 12/09/1999 to 03/08/2000 SP00M - 03/09/2000 to 06/07/2000 SP00U - 06/08/2000 to 09/06/2000 SP00Z - 09/07/2000 to 12/06/2000 SP01H - 12/07/2000 to 03/07/2001 SP01M - 03/08/2001 to 06/06/2001 SP01U - 06/07/2001 to 09/17/2001 * WTC Event SP01Z - 09/18/2001 to 12/12/2001 SP02H - 12/13/2001 to 03/06/2002 SP02M - 03/07/2002 to 06/12/2002 SP02U - 06/13/2002 to 09/11/2002 SP02Z - 09/12/2002 to 12/11/2002 SP03H - 12/12/2002 to 03/12/2003 SP03M - 03/13/2003 to 06/11/2003 SP03U - 06/12/2003 to 09/10/2003 SP03Z - 09/11/2003 to 12/10/2003 SP04H - 12/11/2003 to 03/10/2004 SP04M - 03/11/2004 to 06/09/2004 SP04U - 06/10/2004 to 09/08/2004 SP04Z - 09/09/2004 to 12/08/2004 SP05H - 12/09/2004 to 03/09/2005 SP05M - 03/10/2005 to 06/08/2005 SP05U - 06/09/2005 to 09/07/2005 SP05Z - 09/08/2005 to 12/07/2005 Richard