I use JForex and submit market orders (price = 0.0, slippage = -1, volume = 0.01). I understand that in such a case the order might not be executed at the current Tick Ask/Bid values because the market might move between the time the onTick message is sent from the dukascopy servers till the time my order reaches the servers back.

However, I would expect that in such a case 50% of times my order would be executed in a price which is worst than the current tick value and 50% of the times in a price which is better than the current tick value. For some reason, this is not happening. The order is always executed at a price which is either the same or worst than the current Tick Ask/Bid values.

I have even written a short strategy file which I run on a demo account and proves this (attached)

Why is that? What am I doing wrong?

Mostly a delay occurs between our servers and our counter parties. The counter parties execute at the price we have requested. In many cases while you get execution at the worse price is not because the price moved to the worse side, but because counter parties could not sell us that amount by requested price. In this case we change the price in the boundaries that you have defined with the slippage value (-1 slippage means a default value 5).