Please go to Control Center-->Tools-->Instrument Manager, highlight an instrument and click Edit. You will see the 'Merge policy' setting. If enabled, it will automatically merge data when you request historical data that spans multiple expiries. If 'Merge policy' is disabled, you will only load historical data for the expiry in question.
Subsequently, select the Misc-tab of the Instrument Editor window and scroll to the bottom. Click the 'Contract Months' row and a '...' button will appear. Click the button and you will see all expiries with rollover dates. These dates determine when the instrument will be rolled over.
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