After you first enter the world of day trading stocks or if you are starting a new day trading strategy, it would be wise to spend some time online "paper trading" before you spend real money. This simulation will give you a rough idea of whether or not your strategy, if executed properly, has a good chance of becoming profitable. What many beginning day traders forget, however, is that there is an entire world of difference between paper trading and live trading.
One of the major differences is pure psychology. For most people, something changes inside them when they start trading with live money. They abandon their strategies, do not adhere to their pre-defined money management rules such as a "percentage stop loss," and they take trades which do not fall within the realm of their strategies. If you were to ask veteran day traders if they could get back the losses from only those trades when they did something outside of their proven strategies, many would say that their great-grandkids could be retired if they got back those losses!
Another difference between online paper trading and live day trading is the ability to get shares executed at the prices you want. Many day trading software demo accounts allow you to send a limit order and get executed at any price you want. Even if you simply execute a buy order at the inside bid it will show your order as executed in "demo mode." In live trading, however, you are never guaranteed to even get 100 shares at that price, let alone orders with more size.
The last major difference between online paper trading and live day trading is in the order handling rules. Each execution route (such as ARCA, NASDAQ, or another ECN) has certain order rules which can prevent you from getting into (or out of) a position due to the order you sent. For example, you may not be able to send a Market-On-Close order (MOC) on certain exchanges within the last minute of the trading session if there is a significant imbalance. If you wish to learn more about the various order types, visit each exchange's website and look up the order processing rules for specific types of orders.
One way to help you adapt to live day trading after your period of online paper trading is to start with small shares. You may wish even to start with small shares in the lower-priced stocks. This way your "tuition cost," a term veteran day traders call the money you spend making mistakes while learning during your first attempts in day trading, is kept to a minimum. You will experience the difference in your own psychology during this transition period, and most traders highly recommend that you keep a journal of your thoughts and emotions along with your entry and exit transactions. Also consider reading some of the better books on trading psychology to learn from those who have already been where you are today.