@agentzh, thank you. As you suggested, I went through the ngx_lua code. Since I am new to nginx, my understanding was not so good, but I want to write it in few points,
1) Lua handler receives request
2) Forwards request to Lua interpreter
3) Send Lua response back to user.

Let me know if my understanding itself is wrong. Give me some simple pointers to understand, because I need to start with my module as soon as possible. Thank you once again.