If opposite positions are closed or not depends on your script. WFO cycles should not be linked to seasons. Otherwise you'll get artifacts when the market is season dependent. Market data variables, like spread, swaps, fill prices etc. reflect the market in real time. What to do in case of order rejection is up to your script. The default order fill time is 30 seconds if I remember right, and also applies to limit orders. "Pending" means that the trade is not yet opened, not that it is rejected. Pending trades and limit orders are two different things. A pending trade is no order, it only sends an order when the price hits the entry limit.
You can find all the basic details about trades, stops, etc. on these pages:
http://manual.zorro-project.com/buylong.htmhttp://manual.zorro-project.com/stop.htm http://manual.zorro-project.com/trade.htmand in the examples in the tutorial. If then something is still unclear or not covered by the manual, just ask here.
