thanks nealtw, watched the video it gave me an important reminder to turn off the fuse, i was going to do it on live wire!!
After looking at video i also found important difference between old and new one.
On old one, both red ones are going to LINE and two black are going to THERMOSTAT.
I can see because two reds are connected to black and white one lumped together from the wall.
That is also what the diagram on the old thermostat's cap shows:
Now NEW one completely different and is similar to video, one black (L1) and one red (L2) one going to LINE and other black (T1) and red (T2) one going to LOAD. I can see it is marked on the unit and this is how I am going to connect the unit:
L2 - red (line) - white from LINE
L1 - black (line) - black from LINE
T1 - red (load, thermostat) - white from LOAD
T2 - black (load, thermostat) - black from LOAD.
i hope this will not blow up the building..!!