Halliday = holy day.
It is said this name had its origin in the slogan (war-cry) of a Gælic clan residing in Annandale, who made frequent raids on the English border.
On these occasions they employed the war-cry of 'A holy day!' — every day being holy, in their estimation, that was spent in ravaging the enemy's country.
Source: An Etymological Dictionary of Family and Christian Names With an Essay on their Derivation and Import (1857).