I have read many different approaches in rolling and adjusting futures contract to build a continuous time series. However, all of the examples I have seen are on daily data. While that is relatively straightforward to understand, how should I handle minute level data for example?

Take difference-adjustment for example - how is the difference determined? is it the close price of the final minute of the day the roll happens or average price of the day? then does this adjustment apply to all of the minutes in the entire historical data I have?

Further complication, if instead the roll happens over a number of days proportionally, rather than one single day - how do I handle that at minute level?

Thirdly, what happens when managing roll with live data?

Would be great if someone could talk me through the steps.



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