RS232, MAX232 & Serial MEGA

Step1: Connect My serial directly to arduino:

Green on TX1
Blue on RX1
Black not connected

And I reading all data!! .. If connected black wire (GND) on arduino GND the serial data stopped work

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This is wrong, it is nt happening like you think,you have another mistake that is making you think it is working OK just because you are reading data. You got lucky with your fault. You need to find the real fault so that connecting the ground does not stop it working.