It looks like you missed the installation directions: OTMql4Zmq depends on
OTMql4Py being installed, which depends on OTMql4Lib being installed.
Installation mainly means recursively copying their MQL4 directory over your
Mt4 MQL4 directory, and this is where OTMql4Zmq gets it's init.py
Could you re-read the documentation and see that that's clear: if not, it's a documentation bug.
init.py is provided by the OTMql4Py package: https://github.com/OpenTrading/OTMql4Py/tree/master/MQL4/Python
It looks like you missed the installation directions: OTMql4Zmq depends on OTMql4Py being installed, which depends on OTMql4Lib being installed. Installation mainly means recursively copying their MQL4 directory over your Mt4 MQL4 directory, and this is where OTMql4Zmq gets it's init.py
Could you re-read the documentation and see that that's clear: if not, it's a documentation bug.