A fill is not a price. It is a queue position, a size limit, and a market that moves while you wait. Microstructure is the part of the cost that a daily backtest cannot see at all.
About 1 min of reading
Measure one fill against one assumption
Write the assumed price
Before you run it, say out loud what it will print. Then open the answer.
Write the measured fill
Before you run it, say out loud what it will print. Then open the answer.
Compare the gap to the edge
Before you run it, say out loud what it will print. Then open the answer.
Without the book there is no queue and no size limit. The backtest is not wrong, it is blind, and blind is the expensive kind of wrong.
Fill price measured from the tape against the price you assumed. One number, and it is the number that decides if the strategy is real.
A limit order sits behind others. The distance to the top of the queue is the price you pay to be seen.
A size that cannot fit at the top of the book cannot be filled at the price you assumed. The assumption is the leak.
A limit fill and a market fill are not the same trade. A backtest that uses one price for both is measuring one of them.
Each one is defined here on this site. Open the entry for the full definition and the other words it points at.