Hey Mikko, this isn't the whole story, I think.
I went and looked at volumes on those days. If it's true that the correct explanation is that those days were trading days but quantopian simply isn't aware of them, you would still expect to see zero trading volume on those days, right?
That is what you get for 2017-01-16 but not 2007-01-02.
So why is it that in 2007-01-02 we get a "can't fill" even though there was plenty of volume that day?
data = history(
continuous_future('SY', adjustment='mul', roll='volume'),
fields = ['price','volume','contract'],
frequency = 'daily',
start = '2007-01-02',
end = '2008-01-01'