I used a Twrp 3.0.4-1 image. The official Twrp 3.0.3-2 may have a problem with Oxygen 4.0. But instead of SuperSU, after unlocking and installing Twrp, I flashed Magisk 11.1.zip from Twrp. Magisk 11.1 contains its own MagiskSU. After installing Magisk, install "Magisk Manager" from the Playstore. In Magisk Manager open the menu (tap the 3 horizontal lines at top left) and select settings. Turn on Enable BusyBox, Magisk Hide, and Systemless hosts. Press the back arrow at the top to get the menu back and select status. Now check SafetyNet and it should pass. If you passed SafetyNet, your can safely set up your security (PIN and fingerprint). Try starting an app that needs root. In the Magisk Manager menu select SuperUser and it will list all the apps granted root permission. Each entry there has an on/off switch. If you tap an entry more options will be shown.
Instead of unlocking your phone in order to flash twrp, try booting twrp: "fastboot boot twrp-3.0.4-1-oneplus3.img". Then use this temporary twrp to install Magisk. If it works, you can root your phone without unlocking it and wiping your data. (I would try it, but I'm already unlocked).
How I rooted details: I already had abb and fastboot installed on my pc. After the OEM upgrade to Oxygen 4.0.3, change lock screen security to swipe (no security). Connect phone to pc using the original charging cable. Enable Developer options (by tapping "about phone" in Settings 7 times). In Developer options turn on OEM unlocking, Advanced reboot, and USB Debugging. Hold the power button until it offers to Reboot or Power off. Select Reboot, then select Bootloader, then touch to reboot. Open cmd window in adb folder (hold shift and right click on a blank spot in folder and select Open command window here ) In cmd prompt type fastboot devices and press enter. If it finds your device type fastboot oem unlock and press enter. Use volume keys to select >> YES and briefly press power key. Wait for it to finish wiping the data partition. Now you are "unlocked" (flashing enabled). Type fastboot flash recovery <twrp image> and press enter where <twrp image> is your TWRP 3.0.4-1.img file name (the official twrp, 3.0.3-2 has problems with Oxygen 4) Type in the name of this file, or drag and drop the file to the cmd window, or copy it's name (with just one .zip on the end) and paste it into cmd window by clicking on the black icon in the upper left corner, scrolling to Edit, then click Paste). After it's finished flashing, use the volume keys to select recovery and briefly press power button to boot into TWRP. In TWRP swipe right to enable writing to the system partition (however we will NOT change a single bit in system so we can pass SafetyNet). Install your Magisk v 11.1 zip file (it's a system-less app). Reboot to system. Proceed with downloading Magisk Manager from the PlayStore.
