I had also pending trades and strange errors when Zorro tried to execute two of them, three had been executed. I reported the execution problems in Beta Test Area concerning 1.40 because I'm not quite sure if they are related to the new version I'm already using.
You realized the solution of our problem that Zorro did not setup trades? It must have been a time sync problem and can be avoided if "BarOffest = 5" e.g. is added to the run function, so the daily bars are shifted 5 minutes after midnight and therewith surely after the change of the day.
I menawhile changed the assets in my asset loop slightly concerning to their performance over the time that is available. Oversampling might be still another possibility as jcl stated in his actual entry in his blog, but I didn't try it so far. So my assets are actualy for the ONS:
