Добавить в CreateDataSource():SetUpdateCallback() аргумент, указывающий на DataSource

_DS = {}

function cb(index, secCode, param)
    local id = secCode.."_"..param
    local ds = _DS[id]
    if ds == nil then
        msg("DS was empty")
        return
    end
    
    local price = ds:C(index)
--здесь целевой код колбека
end

function Subscribe(secCode, classCode, param)
    local ds = nil
    local err = nil

    local id = secCode.."_"..param
    if _DS[id] ~= nil then
        msg("<"..id.."> Already req")
        return
    end

    if param == "last" then
        ds,err = CreateDataSource(classCode, secCode, INTERVAL_D1)
    else
        ds,err = CreateDataSource(classCode, secCode, INTERVAL_D1, param)
    end

    msg("Subscribe: <"..secCode..":"..param.."> is: "..tostring(ds))
    if err ~= nil then
        msg("Err: "..err)
        return nil
    end
    
    ds:SetUpdateCallback(
        function(idx)
            cb(idx, secCode, param)
        end
    )

    _DS[id] = ds
    return ds
end

Subscribe("SiH1", "SPBFUT", "last")

local function tickerUpdateCallback ( datasource, candle )
  foo( datasource )
  bar ( datasource, candle )
  if xyz then baz ( datasource, candle ) end
end

CreateDataSource ( 'TQBR', 'FOO', INTERVAL_TICK ):SetUpdateCallback ( tickerUpdateCallback )
CreateDataSource ( 'TQBR', 'BAR', INTERVAL_TICK ):SetUpdateCallback ( tickerUpdateCallback )
CreateDataSource ( 'TQBR', 'BAZ', INTERVAL_TICK ):SetUpdateCallback ( tickerUpdateCallback )