CreateEventA(NULL, false, false, NULL);
WaitForSingleObject
SetEvent

SetEvent(evt)

local w32 = require "w32-ext"
local ffi = require "cffi"
local SetEvent = w32.SetEvent
local MsgWaitForMultipleObjectsEx = w32.MsgWaitForMultipleObjectsEx
local cb_t = {'EDM4','SiM4','CRM4','CNYRUB_TOM'}
local e_quote, e_stop
local is_run = true

function OnQuote(class_code, sec_code)
  local sent = cb_t[sec_code]
  if sent then
    cb_t[sec_code] = sent + 1
    SetEvent(e_quote)
  end
end
function OnStop()
    is_run = false
    SetEvent(e_stop)
end
function main()
  e_stop = w32.CreateEvent(nil, 0, 0, nil)
  e_quote = w32.CreateEvent(nil, 0, 0, nil)
  local events = ffi.new("HANDLE[2]", {e_quote, e_stop})
  local WAIT_TIMEOUT = w32.WAIT_TIMEOUT
  while is_run do
    local res = MsgWaitForMultipleObjectsEx(2, events, 500, 7423, 0) -- QS_ALLINPUT == 7423
    if res == 1 then break end
      if res == WAIT_TIMEOUT then
         -- по таймауту обработать сообщения, например, о смене foreground окна
      else
         -- обновить стаканы
      end
    end
  end
end

local w32 = require("w32")
local ffi = require "cffi"
ffi.cdef [[
    typedef unsigned int UINT;
    typedef unsigned long DWORD;
    typedef long long LRESULT;
    typedef long long LPARAM;
    typedef unsigned long long WPARAM;
    //typedef void* HWND; // in windows
    typedef intptr_t HWND; // uintptr_t not ok as it appends 'ULL', LPARAM also ok
    typedef intptr_t HANDLE;

    void SetLastError(DWORD);
    //LRESULT SendMessageA(HWND hWnd, UINT Msg, WPARAM wParam, LPARAM lParam);
    HWND GetForegroundWindow();
    DWORD MsgWaitForMultipleObjectsEx(DWORD nCount, const HANDLE *pHandles, DWORD dwMilliseconds, DWORD dwWakeMask, DWORD dwFlags);
]]

w32.SetLastError = ffi.C.SetLastError
w32.GetForegroundWindow = ffi.C.GetForegroundWindow
w32.MsgWaitForMultipleObjectsEx = ffi.C.MsgWaitForMultipleObjectsEx
-- those calls trigger 127 error on first invocation
w32.SetLastError(0)

return w32

Просто проверка концепции:
Кодw32 = require("w32")

run = true
evt = false

function OnInit()
  evt = w32.CreateEvent(nil, 0, 0, nil)
end

function OnStop()
 run = false
 w32.SetEvent(evt)
end

function main()
  while run do
     w32.WaitForSingleObject(evt, 1000000)
  end
  w32.CloseHandle(evt)
end

В колбеках вызываете SetEvent - main сразу просыпается.