check this example in case you did not already, I think it corresponds to your case from what I understood, it is in Zorro manual under AssetZone, AssetFrame,...

// trade two assets with different time zones
BarPeriod = 60;
FrameOffset = 9; // trade both assets at 9:00 of their local time
while(asset(loop("EUR/USD","USD/JPY")))
{
if(strstr(Asset,"EUR"))
AssetZone = WET;
else if(strstr(Asset,"JPY"))
AssetZone = JST;
TimeFrame = AssetFrame; // use a daily time frame changing at 9:00 local time
...
}

If the asset you want to trade is listed in NY then indeed you will have to use ET time zone.