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Unfortunately the RadGrid does not support the desired functionality. The sorting functionality is performed over the data source to which the RadGrid is bound. If you bound the RadGrid on the server a post back is needed in order to apply sorting expression and return sorted data. If you want to have client side sorting you need to bind the RadGrid on the client. Also if you do not need any web services you could bind the RadGrid to web methods which are placed into the code behind file of the page. On the following link you could find online example which demonstrates this:
Please give it try and let me know if it helps you. Looking forward for your reply.
the Telerik team
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