I do not know the code in such detail, but would not expect that you can open a trade on the last bar. By default, trades open at the Open of the next bar. With no next bar, I don't think that a trade will open.

Also I think your problem is now clear: if the day is important for your trade, it's not good to enter trades exactly at midnight or just at the start of the weekend. The PC time is never this precise. If the server time is a microsecond slower than your PC time, you might get a tick with a 23:59:59.9999 time stamp, while your PC clock has already the next day at 00:00:00.0001. This is different to the backtest when tick time and PC time are always in sync. So better check the whole time and not only the day. Or set the bar offset so that your daily bars do not change exactly at midnight.

I will also mention this potential trap in the manual.

Oops - big misunderstanding. It seemed to me that the time in the field "Server" is the UTC of the broker's server and this is the one and only time authority that says 00:00 and therewith rings in the beginning of a new day etc. I didn't think of local time having any effect to time events during trading. But okay, if so a BarOffest of 5 minutes should solve the problem. Thanks!

I had 3 pending trades setup and 2 execute today.

I had also pending trades and strange errors when Zorro tried to execute two of them, three had been executed. I reported the execution problems in Beta Test Area concerning 1.40 because I'm not quite sure if they are related to the new version I'm already using.

You realized the solution of our problem that Zorro did not setup trades? It must have been a time sync problem and can be avoided if "BarOffest = 5" e.g. is added to the run function, so the daily bars are shifted 5 minutes after midnight and therewith surely after the change of the day.

I menawhile changed the assets in my asset loop slightly concerning to their performance over the time that is available. Oversampling might be still another possibility as jcl stated in his actual entry in his blog, but I didn't try it so far. So my assets are actualy for the ONS:

"AUD/JPY","AUD/USD","CHF/JPY","EUR/JPY","EUR/USD","GBP/USD","NZD/CHF","NZD/JPY","USD/CHF","USD/JPY","USOil"

Is the BarOffset required for Zorro versions after 1.32?

I think it does not depend on the Zorro version, in my case 1.32 didn't trade too without it.

Mine exited correctly this morning.

I guess you got a perfect time sync! So nice BarOffset might be, it involves a new fact that isn't. While it is negligible if the entry stops are set 5 minutes earlier or later, closing positions that try to exploit a weekend gap only 5 minutes after the market has started again after weekend might have an impact on the result that is unfortunately confirmed by the backtest. As from the manual BarOffset must not change during the script run I tried to find another solution. I did some experiments with TMFs that I expected to be able to watch the market but those tries were completely running down the drain because of strange effects I can't explain (yet). So my only workaorund actually is setting BarOffset = 1 hoping this delay is sufficient to get the change of day for the entry clearly. But I'm working on ...

No BarOffset set (other than what maybe set by default) on that version of the script which executed those trades.

If midnight is really the best for that system, leave BarOffset at 0. Just check if the current hour is 23 or 0 before comparing the week day. This is anyway the proper solution when you don't want to delay the trades through BarOffset.