Thank you for your answer. I will try how it will work with X-Accel-Buffering: no in headers.
It is strange. From backend it seems like client disconnects. Calling php connection_aborted returns true. I am downloading file around 1.5GB with speed around 250KB/s. I have downloaded 600MB and I can see in my log from php, that I have disconnected. Also I know that file from 3rd party server is fully donwloaded - so there are data to send and that script uploaded 1GB. But my download is still running. When I download 1GB downloading stops.