What Roman writers wrote about the shows at the Colosseum, the Roman theater and the Circus Maximus?

I don’t know, but I would search Google Books for whatever terms you know plus the word “documents”.

I believe what you will find are brief accounts by historians like Cassius Dio and Titus Livius, and others like statesman/writer Pliny the Younger. I believe Younger’s letter 9.6 may help. I don’t know of any writings of day-to-day events. I hope someone else can help.

http://etext.virginia.edu/toc/modeng/public/Liv1His.html

http://penelope.uchicago.edu/Thayer/E/Roman/Texts/Cassius_Dio/1*.html

http://www.fordham.edu/halsall/ancient/pliny-letters.html

Check out the writings of the Roman satirist Juvenal. He is the writer who coined the phrase “bread and circuses” per this citation among others.