I had a small question concerning backtesting and paper trading.

In real-life trading, when liquidity for a stock or ETF is low, an order may not be fully filled at the current bid or ask. In some cases, there may even not be any demand for this stock or ETF.

I was wondering if this effect is simulated at all in backtests, and in paper trading. This may have a major impact on the real-life performance of a strategy that depends on the quick purchase/sale of large quantities of assets.

Anyone would have any impressions or comments on this?

Thanks! :)