Data mobile turning off when screen locks

I hold a Samsung Galaxy S7 Edge, android Marshmallow 6.0.1.
When I turn phone on the data mobile is running ok. When I unlock screen after it locks itself, it lost data mobile connection. But If I keep screen unlock or phone active, everything goes well.
Power saving mode is off.
No third party app running.

What could turn off data mobile when the screen locks?

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