As mentioned above, Murphy is great for learning grammar and doing exercises.

If you're looking for a grammar dictionary, then;

Michael Swan: Practical English Usage, Oxford Press

or 

Leech, Cruikshank, Ivanic: An A-Z of English Grammar & Usage, Longman Dictionaries

Betty Azar, Understanding and Using English Grammar, and Fundamentals of English Grammar

Marcella Frank, Modern English: Exercises for Non-Native Speakers

Thanks Evgeniya and Andi I think I will start with Murphy book then read Michael Swan: Practical English Usage. Really I appreciate your answers.