I implemented this by subclassing QDialog.
I added:
Qt::FramelessWindowHint | Qt::WindowStaysOnTopHint | Qt::Tool | Qt::X11BypassWindowManagerHint

when QDialog constructor is called
and also:
setAttribute(Qt::WA_TranslucentBackground, true);

But how to stick this "extra window" to main window of a application.
My way is to reimpement moveEvent() in main window to send signal with moved coefficients,
but still I have to take care of minimizeing of main window - this extra dialog remains over because of Qt::WindowStaysOnTopHint. Yes, I can reimplement some other events from main window

but maybe there is some more smart way