I'd check that you're getting full power to the glow-plugs, they pull a lot of current so take care when checking but see if the relay is clicking when the ignition is turned on first and also check the fuse if this is OK check to see if the engine earth strap is also OK.If the plugs haven't been changed in the last 20K then they may have to be replaced.
You can test the glow-plugs with a multimeter by measuring the resistance across the plug ( between the power connection and the body) it should be around 4-8ohms if its tending to infinity / open circuit the plug is faulty or by using a clip on current clamp, either on the supply wire to glow plugs or onto engine earth, with glow plug light on you should see 15-20amps for each glow plug fitted, 4 cylinders would be approximately 60-80amps.
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OK thats a pattern part but its the correct spec so lets assume its OK
In which case I'd move onto checking the resistance of all of the glow plugs as the next step
it’s also worth considering fitting a new fuel filter as if only slightly blocked this can lower fuel supply pressure and choke the main pump, the pump will be more sensitive to this when its cold as diesel thickens considerably with low temperatures.