We report on a real-time demand response experiment with 100 controllable devices. The experiment reveals several key challenges in the deployment of a real-time demand response program, including time delays, uncertainties, characterization errors, multiple timescales, and nonlinearity, which have been largely ignored in previous studies. To resolve these practical issues, we develop and implement a two-level multi-loop control structure integrating feed-forward proportional-integral controllers and optimization solvers in closed loops, which eliminates steady-state errors and improves the dynamical performance of the overall building response. The proposed methods are validated by Hardware-in-the-Loop (HiL) tests.