I went to this page https://cran.r-project.org/

Which one do I download, the source file or the other one ?

Where do I put it in Zorro ?

Under "Download and Install R", click "Download R for Windows". Then run the installer.

To set up R, read the manual section about R:
https://zorro-project.com/manual/en/rbridge.htm

By the way, the Zorro manual is your friend.

Yes,

Thanks,

I have been studying the manual. Sometimes it leaves out details. Incidentally, do you know if Zorro provides depth of market for order book. I remember seeing something like that.

Yes, but only if your plugin supports GET_BOOK.

https://zorro-project.com/manual/en/ordercvd.htm
https://zorro-project.com/manual/en/brokercommand.htm
https://zorro-project.com/manual/en/ib.htm
https://zorro-project.com/manual/en/sierra.htm

Keep reading!

RobotWealth has a really good tutorial on how to bridge R with Zorro. I have yet to bridge R myself but I imagine when I do, this article will be a valuable resource:

https://robotwealth.com/integrating-r-with-the-zorro-backtesting-and-execution-platform/