Rangers beat Gibraltar side St Joseph’s 10-0 on aggregate and the 27-year-old believes the Gers are showing all the right signs.
Halliday was part of the team who qualified for last season’s group stages and thinks they showed they belong in the competition.
Speaking to RangersTV he said: “ I think it was a hugely professional job; with all due respect this is a round we expect to go through.
“We treated St Joseph’s with the upmost respect, we said that last week and we ultimately produced a professional job.
“Ultimately we did that and I think we have built up some good momentum since we came back in pre-season.
Alfredo Morelos got his 50th goal in a Rangers jersey, the first of his first European hat-trick and while Halliday was pleased for the Colombian he has been boosted by the fire power amongst the rest of the squad.
He continued: “I am proud of Buffalo; I think he has done very well. Last year he got a lot of credit and deservedly so with the amount of goals he scored.
“We have brought in a lot of attacking depth and I think the squad looks very healthy for competition.
“I am just happy with the win and clean sheet, I probably should have scored a couple. I don’t know if the second one was off-side but I’m not fussed.”