We went to the rodeo last year on our way to Banff. We stayed at Fort Collins, Wellington KOA, as the Cheyenne RV Parks required a 3 night minimum and that would not fit into our schedule. The drive in from Fort Collins was not bad at all, and it was relaxing to return to a camp which was outside the main crowds.
The point about the sun is extremely important. We had tickets months ahead of time and knew nothing about the exposure. Ours were front row seats, but that put us directly out in the heat of the sun. We had to leave after about an hour. We could not have stayed that long if we had not had umbrellas.