Now, i improve my tornado skills and have a question about user auth.
And my solution is create secure token on first page and next send it with other data, from javascr
I suggest you read the overview section in the documentation.
There should be some relevant content there:
EDIT
I just realized your question is about websockets. I believe you can use the approach you outline:
You should be able to access the request headers inside the websocket handler using self.request.headers
.