Hi,
Is it possible to Train/Retrain algo on intraday data? I'm using BarPeriod=1 and machine learning function. Maybe Zorro S version in Trade mode can do it?

Your question is not clear. What do you want to do?

For example, strategy is running today, 09/12/2016 and I want to train it on the same day data - 09/12 before the end of the day.

Look for "Retraining" in the manual and set UpdateDays to -1. It then retrains until the current time. Retraining while live trading indeed requires Zorro S.