I have created an event handler for the OnSortCommand of DataGrid:

<asp:DataGrid id="dtgBatches" runat="server" Width="100%" CssClass="intTable" EnableViewState="False" DataKeyField="bat_GUID"
                GridLines="Horizontal" AllowSorting="True" AutoGenerateColumns="False" AllowPaging="False" >
               <SelectedItemStyle BackColor="#FFFF99"></SelectedItemStyle>
                <AlternatingItemStyle CssClass="intTableEntry"></AlternatingItemStyle>
                <ItemStyle CssClass="intTableEntry2"></ItemStyle>
                <HeaderStyle ForeColor="Black" CssClass="tableHeader"></HeaderStyle>
                <Columns>
                    <asp:TemplateColumn >
                        <HeaderStyle Width="5%"></HeaderStyle>
                        <ItemStyle HorizontalAlign="Center"></ItemStyle>
                        <ItemTemplate>
                            <img src="../images/icons/cog.png" onclick="universalAlert('Loading...',4,false); ViewBatch('<%# DataBinder.Eval(Container.DataItem, "bat_GUID") %>')" alt="view"/> 
                        </ItemTemplate>
                    </asp:TemplateColumn>
                    <asp:BoundColumn DataField="bat_Name" SortExpression="bat_Name" HeaderText="<%$ Resources:AI360Resource, lnkbtn_Name %>">
                     <HeaderStyle Width="10%"></HeaderStyle>
                        <ItemStyle HorizontalAlign="Left"></ItemStyle>
                    </asp:BoundColumn>
                    <asp:BoundColumn DataField="bat_Id" SortExpression="bat_Id" HeaderText="<%$ Resources:AI360Resource, ltxt_ID %>">
                        <HeaderStyle Width="10%"></HeaderStyle>
                        <ItemStyle HorizontalAlign="Left"></ItemStyle>
                    </asp:BoundColumn>
                    <asp:BoundColumn DataField="bat_Date" SortExpression="bat_Date" HeaderText="<%$ Resources:AI360Resource, alt_date %>" DataFormatString="{0:d}">
                        <HeaderStyle HorizontalAlign="right" Width="10%"></HeaderStyle>
                        <ItemStyle HorizontalAlign="Right"></ItemStyle>
                    </asp:BoundColumn>
                    <asp:TemplateColumn>
                        <HeaderStyle Width="1%"></HeaderStyle>
                    </asp:TemplateColumn>
                    <asp:BoundColumn DataField="bat_Close_date" SortExpression="bat_Close_date" HeaderText="<%$ Resources:AI360Resource, ltxt_closed %>" DataFormatString="{0:d}">
                        <HeaderStyle Width="29%"></HeaderStyle>
                        <ItemStyle HorizontalAlign="Left"></ItemStyle>
                    </asp:BoundColumn>
                    <asp:BoundColumn DataField="bat_Cont_Amount" SortExpression="bat_Cont_Amount" HeaderText="<%$ Resources:AI360Resource, alt_receipts %>" DataFormatString="{0:c}">
                        <HeaderStyle Width="10%"></HeaderStyle>
                        <ItemStyle HorizontalAlign="Left"></ItemStyle>
                    </asp:BoundColumn>
                    <asp:BoundColumn DataField="bat_Disb_Amount" SortExpression="bat_Disb_Amount" HeaderText="<%$ Resources:AI360Resource, alt_disb %>" DataFormatString="{0:c}">
                        <HeaderStyle Width="25%"></HeaderStyle>
                        <ItemStyle HorizontalAlign="Left"></ItemStyle>
                    </asp:BoundColumn>
                </Columns>              
            </asp:DataGrid>

And the code of handler is as below:

protected void dtgBatches_SortCommand(object source, System.Web.UI.WebControls.DataGridSortCommandEventArgs e)
        {
            string strCurrentSort = dtgBatches.Attributes["SortExpr"];
            string strNewSort = e.SortExpression;

            if ((strCurrentSort != null) && (strCurrentSort == strNewSort))
            {
                //reverse direction
                strNewSort += " DESC";
            }
          // Code to Set DataView dv
            dv.Sort = strNewSort;
            dtgBatches.DataSource = dv;
            dtgBatches.DataBind();
        }

The problem is that the handler never executes.

The registartion for the handler is done as below:

private void InitializeComponent()
        {
            this.dtgBatches.SortCommand += new System.Web.UI.WebControls.DataGridSortCommandEventHandler(this.dtgBatches_SortCommand);
        }