Have you tried setting the slippage to 0 to see if that helps? To override the default slippage models on the futures calendar, you need to use this line of code:
One other thing to note with the futures calendar is that the only holidays that are handled normally are those that apply to all futures - Christmas Day, US New Years, and US Independence Day (July 4th). Outside of these holidays, there are other holidays that are observed by a subset of exchanges. Sometimes, there are even holidays that are observed by a subset of futures on the same exchange. For the holidays that are not observed by all futures, they will simply show up as having 0 volume on the given day, so you'll see orders on that day that appear not to fill.
For the partial orders, I'm not as sure. Can you try the zero-slippage model and let me know what happens?
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