Any ECN brokers with MT4?

FXOpen AU has a pure ECN environment on MT4 using FXOpen's proprietary back end. You can test this by opening a limit order inside the spread on any pair and see the spread change reflecting your new order in the market. The only way to be sure you are on an ECN, is by being an actual participant in the market, rather than just trading off a price feed.

Please, I'm sorry if my question is out of place here, but I couldn't think of a better place to go. I placed a sell stop order as follows; #27880606 sell stop 0.10 AUDUSD at 0.93576 sl: 0.94076 tp: 0.93252. The sell stop order was accepted by my broker order. A live account by the way.
When the order was triggered, it was at 0.93236, sl 0.94076, tp 0.00000.
How could this be so?

Well I'm assuming you placed the order over the Aussie CPI number and the market gapped triggering your sell stop and negating your t/p because it was higher than your entry.

You should have made money on the trade..

I want to give credit to SKovalyov for pointing out the difference between an STP broker and and ECN broker. Depending on how you trade, it could make a big difference. IC Markets, which is a broker I like and use, is both an STP broker and an ECN, from a practical standpoint, regardless of what they call it. If you trade using their Metatrader platform, they are essentially an STP broker. Your "Limit" orders are not real limit orders since they are sent over the bridge as a market order once the limit price has been hit. They explained to me that it is the only way for them to do it and it is a function of how the bridge is setup. Hence you can get slippage even on your limit orders. Not surprisingly, over 1,000+ limit orders I had a realized adverse slippage of about 0.4 pips.

MB Trading is the only true ECN broker using Metatrader that I know of but please point out others if you know any.

It is my understanding that IC Markets other platform, cTrader, does indeed work as an ECN (using a FIX connection), where a limit order would sit as a limit order on the order book and you would get executed at that price or not at all. I have not yet opened a live account using cTrader, since the platform is still lacking some features I need, but I anticipate opening one some time during 2014, if they add the functionality they have promised.

As mentioned before, FXOpen uses a proprietary ECN bridge. Your orders are sent to the ECN via MT4, completely bypassing Metaquote's internal clearing system. You can actually see your orders appear in the Level II order book.

Thanks.