I tried the example on that page and got it to send traffic as master, but I need to run it as slave.

I tried this code from github and made some smaller adjustment in the communication settings.

Should I specify the registers that I use? I read that reg 9 is linked to 40008. But can't read any?

/*
   Copyright (c) 2018 Boot&Work Corp., S.L. All rights reserved
   This program is free software: you can redistribute it and/or modify
   it under the terms of the GNU Lesser General Public License as published by
   the Free Software Foundation, either version 3 of the License, or
   (at your option) any later version.
   This program is distributed in the hope that it will be useful,
   but WITHOUT ANY WARRANTY; without even the implied warranty of
   MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
   GNU Lesser General Public License for more details.
   You should have received a copy of the GNU Lesser General Public License
   along with this program.  If not, see <http://www.gnu.org/licenses/>.
 */
#include <RS485.h>
#include <ModbusRTUSlave.h>
#define RS485_RATE 38400UL
// Modbus registers mapping
// This example uses the M-Duino21+ mapping
int digitalOutputsPins[] = {
#if defined(PIN_Q0_4)
  Q0_0, Q0_1, Q0_2, Q0_3, Q0_4,
#endif
};
int digitalInputsPins[] = {
#if defined(PIN_I0_6)
  I0_0, I0_1, I0_2, I0_3, I0_4, I0_5, I0_6,
#endif
};
int analogOutputsPins[] = {
#if defined(PIN_A0_7)
  A0_5, A0_6, A0_7,
#endif
};
int analogInputsPins[] = {
#if defined(PIN_I0_12)
  I0_7, I0_8, I0_9, I0_10, I0_11, I0_12,
#endif
};
#define numDigitalOutputs int(sizeof(digitalOutputsPins) / sizeof(int))
#define numDigitalInputs int(sizeof(digitalInputsPins) / sizeof(int))
#define numAnalogOutputs int(sizeof(analogOutputsPins) / sizeof(int))
#define numAnalogInputs int(sizeof(analogInputsPins) / sizeof(int))
bool digitalOutputs[numDigitalOutputs];
bool digitalInputs[numDigitalInputs];
uint16_t analogOutputs[numAnalogOutputs];
uint16_t analogInputs[numAnalogInputs];
// Define the ModbusRTUSlave object with Modbus RTU slave address: 11
ModbusRTUSlave modbus(RS485, 11);
////////////////////////////////////////////////////////////////////////////////////////////////////
void setup() {
  Serial.begin(9600UL);
  Serial.println("Test!");
  // Init variables, inputs and outputs
  for (int i = 0; i < numDigitalOutputs; ++i) {
    digitalOutputs[i] = false;
    digitalWrite(digitalOutputsPins[i], digitalOutputs[i]);
  }
  for (int i = 0; i < numDigitalInputs; ++i) {
    digitalInputs[i] = digitalRead(digitalInputsPins[i]);
  }
  for (int i = 0; i < numAnalogOutputs; ++i) {
    analogOutputs[i] = 0;
    analogWrite(analogOutputsPins[i], analogOutputs[i]);
  }
  for (int i = 0; i < numAnalogInputs; ++i) {
    analogInputs[i] = analogRead(analogInputsPins[i]);
  }
  // Init RS485
  RS485.begin(RS485_RATE, HALFDUPLEX, SERIAL_8E1);
  // Init ModbusTCPSlave object
  modbus.begin(RS485_RATE);
  modbus.setCoils(digitalOutputs, numDigitalOutputs);
  modbus.setDiscreteInputs(digitalInputs, numDigitalInputs);
  modbus.setHoldingRegisters(analogOutputs, numAnalogOutputs);
  modbus.setInputRegisters(analogInputs, numAnalogInputs);
}
////////////////////////////////////////////////////////////////////////////////////////////////////
void loop() {
  // Update inputs
  for (int i = 0; i < numDigitalInputs; ++i) {
    digitalInputs[i] = digitalRead(digitalInputsPins[i]);
  }
  for (int i = 0; i < numAnalogInputs; ++i) {
    analogInputs[i] = analogRead(analogInputsPins[i]);
  }
  // Process modbus requests
  modbus.update();
  // Update outputs
  for (int i = 0; i < numDigitalOutputs; ++i) {
    digitalWrite(digitalOutputsPins[i], digitalOutputs[i]);
  }
  for (int i = 0; i < numAnalogOutputs; ++i) {
    analogWrite(analogOutputsPins[i], analogOutputs[i]);
  }
}

The test I tried with:

./modpoll -b 38400 -p even -m rtu -a 11 -r 1  /dev/ttyUSB0 
modpoll 3.9 - FieldTalk(tm) Modbus(R) Master Simulator
Copyright (c) 2002-2020 proconX Pty Ltd
Visit https://www.modbusdriver.com for Modbus libraries and tools.
Protocol configuration: Modbus RTU, FC3
Slave configuration...: address = 11, start reference = 1, count = 1
Communication.........: /dev/ttyUSB0, 38400, 8, 1, even, t/o 1.00 s, poll rate 1000 ms
Data type.............: 16-bit register, output (holding) register table
-- Polling slave... (Ctrl-C to stop)
Illegal Data Address exception response!

the "Illegal Data Address exception response"  is raised when data address of some or all the required entities are not allowed or do not exist in salve. Make sure that you have properly configured the RS-485 parameters (in our examples RS485 is working at a 38400 baud rate for example).

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