It's not necessarily possible to connect to a broker directly. We were able to connect to FXCM directly, for example, because the Zorro developers implemented the FXCM API (Application Programming Interface), FxConnect, I think, most likely using Zorro's Broker API functions. The same is true of Interactive Brokers, and Oanda, I believe. The manual talks about this sort of thing in the "Broker API" section. Also, there's been some talk of writing a FIX engine for Zorro, and that would enable Zorro to connect directly to many brokers, because FIX has become a standard financial messaging protocol. But writing a FIX engine is a non-trivial exercise.

Anyway, since MT4 seems to be supported by many brokers as a sort of client-server messaging interface, that allows us to trade with brokers where the API or FIX has not been implemented in Zorro.

Jcl, correct me if I'm wrong