First time using anal dildo, burning sensation

I recently bought a peep show silicone dildo and some water based astroglide, but every time I try to put it in, it burns uncomfortably. I thought this was just my first anal sex, but when I put a little lube on my hand and inserted my finger very shallowly, it still burned. Is this normal for anus? Or should I use a different lubricant? Anything will be appreciated.

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