So there's no asset call like 'asset("SPX500")' in your script?

I notice that you have the AUD/USD asset selected in your Zorro window, but your Zorro EA has been attached to a EUR/USD screen in MT. Do you run a multi-asset script? If this is the case than make sure that all of your asset calls refer to the correct symbol in your asset list.

Other than that, I can't explain why there's a reference to the 'SPX500' symbol.