I believe that your order can only be executed where there are orders which have set the market price. Your order on its own won’t set the market price so you can only tag along with the market. It is a failing of demo accounts but nobody said they could be 100% realistic.
Of course, have you absolutely confirmed your broker is a true ECN broker? It seems that some firms let you believe they are ECN when they’re not, they’re offering their book prices, not market prices.