You cannot collect EI, if you quit the job on your own without just cause.
Just cause for voluntarily leaving an employment or taking leave from an employment exists if the claimant had no reasonable alternative to leaving or taking leave, having regard to all the circumstances, including any of the following:
(i) sexual or other harassment,
(ii) obligation to accompany a spouse, common-law partner or dependent child to another residence,
(iii) discrimination on a prohibited ground of discrimination within the meaning of the Canadian Human Rights Act,
(iv) working conditions that constitute a danger to health or safety,
(v) obligation to care for a child or a member of the immediate family, (vi) reasonable assurance of another employment in the immediate future,
(vii) significant modification of terms and conditions respecting wages or salary,
(viii) excessive overtime work or refusal to pay for overtime work,
(ix) significant changes in work duties,
(x) antagonism with a supervisor if the claimant is not primarily responsible for the antagonism,
(xi) practices of an employer that are contrary to law,
(xii) discrimination with regard to employment because of membership in an association, organization or union of workers,
(xiii) undue pressure by an employer on the claimant to leave their employment, and
(xiv) any other reasonable circumstances that are prescribed.
While on EI, you may take training course. But the course must be approved by HRSDC.