This post follows on from Arduino With HC-05 Bluetooth Module in Slave Mode
The STATE pin on the HC-05 zs050 board is connected to the LED 2 pin on the small bluetooth module and the LED 2 pin is used to indicate when there is an active connection. This means the Arduino can connect to the STATE pin and determine when we have a connection. The STATE pin is LOW when the HC-05 is not connected and HIGH when the HC-05 is connected.
As a quick visual indicator you can put a LED + suitable resistor on the STATE pin. When the module is connected the LED will light.
You can also use the Arduino to read the value of the STATE pin.
