For now i know what i must use OMSetDepthStencilState. In the beginning i must create two states and change them every time i need another. For now i have this and it doesn't work, i.e. objects rendered in order i draw them:
D3D11_DEPTH_STENCIL_DESC depthStencilDesc;
depthStencilDesc.DepthEnable = TRUE;
depthStencilDesc.DepthWriteMask = D3D11_DEPTH_WRITE_MASK_ALL;
depthStencilDesc.DepthFunc = D3D11_COMPARISON_LESS;
depthStencilDesc.StencilEnable = FALSE;
depthStencilDesc.StencilReadMask = 0xFF;
depthStencilDesc.StencilWriteMask = 0xFF;
// Stencil operations if pixel is front-facing
depthStencilDesc.FrontFace.StencilFailOp = D3D11_STENCIL_OP_KEEP;
depthStencilDesc.FrontFace.StencilDepthFailOp = D3D11_STENCIL_OP_INCR;
depthStencilDesc.FrontFace.StencilPassOp = D3D11_STENCIL_OP_KEEP;
depthStencilDesc.FrontFace.StencilFunc = D3D11_COMPARISON_ALWAYS;
// Stencil operations if pixel is back-facing
depthStencilDesc.BackFace.StencilFailOp = D3D11_STENCIL_OP_KEEP;
depthStencilDesc.BackFace.StencilDepthFailOp = D3D11_STENCIL_OP_DECR;
depthStencilDesc.BackFace.StencilPassOp = D3D11_STENCIL_OP_KEEP;
depthStencilDesc.BackFace.StencilFunc = D3D11_COMPARISON_ALWAYS;
ID3D11DepthStencilState *m_DepthStencilState;
HR(m_Device->CreateDepthStencilState(&depthStencilDesc, &m_DepthStencilState));
m_ImmediateContext->OMSetDepthStencilState(m_DepthStencilState, 0);