word order of subject clause

[Infin1ty]

Hi,

There are two sentences as fellow.

I don't know what exactly do you mean by saying that.
I don't know what exactly you do mean by saying that.

Please tell me which one of those sentences is grammatically correct. Could I omit the word do by saying: I don't know what you mean by saying that.

Please let me know if there's any typo or grammatically mistake in my sentences. Thank you! :)
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Please feel free to correct me if you find any mistakes in my posts.

[Jamie (K)]

The first sentence is grammatically incorrect.

The second sentence would only be grammatically correct as the response to someone saying something like, "I don't mean that."

The only one that is grammatically correct all the time would be the one without "do".

However, instead of "by saying that", we would be more likely to say just "by that".