I tried to filter by BTS.ReceiveLocationName in orchestration receive shape but I can not see it in a filters:
Do someone know what can be a reason?
That is because there is no such property
You could try BTS.InboundTransportLocation and give it the URI of the Receive Location
It is one of the few automatically promoted properties of an received message.
Another option is to have a Pipeline Component in the Receive Location that sets a promoted property that you then filter on. We usually do this via a BRE Pipeline Component and a Business Rule to set the Property. This avoids having the change the filter per environment due to the URI being different.