Dear Thomas,
You are right (sorry for not being clear, I am not 100% sure what I am doing and how it is called, as it is my first time. It is finally clear what sequence is.) : I have X_batch of shape  1 x 129 x 39  and I intend to use 129 as the sequence length.  So I add batch_first=True , as you advised, and will try to make it work. Now I finally understand what the phrase in documentation meant… batch_first  – If  True , then the input and output tensors are provided as (batch, seq, feature).
For Y I have a label for each time stamp. So in case of X_batch of shape  1 x 129 x 39 I have 129 labels related to it.
At the moment I just set it to run with batch first true and I am on the epoch 1 stuck for a while (so it got much slower if will work at all). I will report here on the results.
Best regards, Alice