I\'d like to load a shared library (closed-source binary user-space library) at boot stage with grub boot-loader. Are there any chances for this or I must write a custom-elf
So, you don't make it crystal clear what you are trying to do, but:
Loading a userspace (assuming Linux SysV ELF type) shared library straight into GRUB is not possible. GRUB modules are indeed in ELF format, but they contain additional headers. Among the information contained in that header is an explicit license statement - GRUB will refuse to load any modules that are not explicitly GPLv2+, GPLv3 or GPLv3+.
It should be possible to write an ELF loader, but an easier way might be to write a tool to convert a userspace library to a GRUB module. There would of course be several restrictions here:
If recompiling is an option, GRUB also provides a POSIX emulation layer - add CPPFLAGS_POSIX to your CPPFLAGS, and use core standard POSIX header files. Have a look at the gcrypt support for an example.