I use SockJS-Tornado in my blog application. I create a SockJSRouter in my code here. My SockJSConnection subclass is defined in my code here, and here is my nginx.conf. The relevant lines of my nginx.conf are like:
location /blog/sock_js {
proxy_pass http://motor_blog;
proxy_http_version 1.1;
proxy_set_header Upgrade $http_upgrade;
proxy_set_header Connection "upgrade";
}