HI, tks for the reply and tips.
I do not trade FX. I currently trade futures.

In MT5, you can open the Depth of Market window and compare with the bars being plotted in the price graphic. MT5 plots the last deal price. I don't know if different brokers have different behaviors. I don't guess so.

As per your suggestion, I reviewed the Zorro's MT5 EA and the zmq4 include file. It really uses Ask and Bid prices:
#define Bid (::SymbolInfoDouble(_Symbol, ::SYMBOL_BID))
#define Ask (::SymbolInfoDouble(_Symbol, ::SYMBOL_ASK))
It seems Zorro EA never asks for SYMBOL_LAST.

Zorro EA requests OHLC prices as history data (CMD_HISTORY). That is not ask and bid prices. I have to double check with Download Zorro included strategy.

I confess I'm loosing enthusiasm with Zorro S.

att,
jm