The engineers of my team are building the tasks of the app already in the first stage. Is it correct? I think that before that, we should create the user stories. Even more, we should do some research first. Am I in the right way?
It's fairly normal for an engineering team to start work on some of the less visible parts of a product once basic requirements are in. That might be spinning up environments, getting databases set up, getting API access, etc.
They might also being to work on finding possible solutions to some of the larger scale problems if they can see them coming.
If, for instance, they can see that your app will need to talk to an API and store and retrieve information from a database then they might be writing stories that say things like "as a user I want to be able to see 'x' from the API" or "as a user I want to be able to retrieve 'y' from database 'z'".
They might also be writing stories for other developers and systems admins