Got it to work.
Thanks to all those who have replied. I have verified all my connections and they are right. So I did some more searching on the net and found the solution from the Mazda 3 forum. The problem is the DRL signal. In DRL mode the stock halogen light gets a Pulse Width Modulated (PWM) signal. That is the power going to the light gets switch on and off very quickly. Long on time with short off time will result in brighter light output. Shorter on time will get dimmer light output.
Halogen lights do not care about not getting a constant power, they just averaging the total power going into it and output that in terms of brightness. This is the same working principle as your house hold light dimmers.
The HID ballast on the other hand needs a constant power source and it cannot be dimmed using PWM signal. Xenon bulbs cannot be dimmed, it either is on or off similar to a florescent light. To add dimming capabilities to these light sources requires different and sophisticated ballasts. A PWM power signal going into a regular HID ballast will cause it to turn itself on and off quickly resulting in a flickering light output.
Now to the solution. All one have to do is just add a capacitor to the coil terminals (85 and 86) of the relay to filter out the PWM signal to make it look like a constant voltage source. The only thing to watch for is the polarity. I used a 470uF 25V electrolytic capacitor which has a + and - terminal. They must match up to the polarity going to the coil (85 and 86) terminal. Here is a diagram on the relay.
In my case I matched the polarities of the factory H7 socket to the relay socket. The blue wire is terminal 86 and the black wire is terminal 85 on the relay socket. To be sure you can use a volt meter to verify the polarity of terminals 85 and 86 on the relay socket.
I just place the capacitor leads into the appropriate relay terminal on the socket and push the relay into the socket pinching the capacitor leads into place. To verify everything is working with the DRL I started the car, placed into Drive, took the parking brakes off and place it into Park. Once it was verified I taped the capacitor up to the relay socket and closed everything up. Here is a picture of the capacitor with the relay and socket.
Here is pictures of the completed installation.
Passenger side:
Driver side:
HID working in DRL mode:
If anyone is interested I have pictures of around 85% of the installation process. I can spend a hour or two to write up my HID conversion experience. Maybe someone will find it useful in the future. Thanks to everyone once again.
