Suppose the front-month index future contract is going to expire in 4 days time. The next month contract's liquidity is about the same as front month. The next month's contract trades at about 0.3% cheaper than front-month. If I short the next month's contract, does it mean I lose 0.3% compared to shorting the front-month contract? The rollover commission fees is much lower than the 0.3% difference between front-month and next-month.
No. Your gain and loss is calculated based on the same month entry/exit. That front-next differential you see signifies a Roll Yield that can only be captured by spreading the months by a number of contracts about 100x what you are trading now because it is so minuscule.