You should expect that a strategy running real-time (live brokerage account, live market simulation, Market Replay etc...) will produce different results than the performance results generated during a backtest.
Getting Filled on an Order
As you can see, there are three distinctly different models for how and when an order may be filled. This is why you may see orders NOT fill in real-time that you may otherwise expect to see filled based on your backtesting results.
The Fill Price of Orders
As you can see, there are three different models on what price an order can be filled at.
Running a Strategy at the Close of a Bar or Tick by Tick
Differences in chart data