Is there any way to run a macro, a serie of keys inside Sonar?

SONAR does not have a macro tool
AutoHotkey can act as a macro utility for most any windows app.

In case you want trigger that by some Control Surface...
You can use my plug-in for that (as an addition to HotKey or alone). That advantage is that plug-in has "more knowledge" about what is going on with Sonar (so it can trigger keys depending on transport, VST, etc). The disadvantages are: you can not trigger by normal keyboard and configuring it is a "rocket science".

I do this with PhaseExpress.
A very complex software to send keystrokes, time delays, mouseevents and variables and script-programming.
http://www.phraseexpress.com/index.html
 
However, commercially and with costs
 

There is a sort of scripting tool still within SONAR CAL scripts might be worth a little Google.

http://www.cakewalk.com/Documentation?product=SONAR%20X2&language=3&help=Programming_CAL.03.html
 
This one below links to a PDF about using CAL

http://members.ziggo.nl/t.valkenburgh/Cakewalk%20Application%20Language%20Programming%20Guide.pdf
 

Or you get ac keyboard or mouse that allows macros to be assigned to keys.