I've got a form with datagridview on it. dataGridView is binded to BindingSource:
public class Address
{
    public string State { get; set; }
    public string City { get; set; }
    public string Street { get; set; }
}
this.addressBindingSource.DataSource = typeof(Address);
this.dataGridView1.DataSource = this.addressBindingSource;
I fill DataSource like this:
    addressBindingSource.DataSource = new BindingList<Address>
    {
        new Address {State = "S1", City = "C1", Street = "S1"},
        new Address {State = "S1", City = "C1", Street = "S2"},
        new Address {State = "S1", City = "C1", Street = "S3"},
        new Address {State = "S1", City = "C2", Street = "S4"},
        new Address {State = "S1", City = "C2", Street = "S5"},
        new Address {State = "S1", City = "C2", Street = "S6"},
    };
I'm trying to enable sorting for this datagridview. I set SortMode to Programmatic for all the columns of dataGridView1. And I added an event handler for ColumnHeaderMouseClick:
    private Dictionary<int, string> columnIndexPropertyNameDictionary = new Dictionary<int, string>
        {
            {0, "State"},
            {1, "City"},
            {2, "Street"},
        };
private void dataGridView1_ColumnHeaderMouseClick(object sender, DataGridViewCellMouseEventArgs e)
{
    if (e.ColumnIndex < 0)
        return;
    for (int i = 0; i < dataGridView1.Columns.Count; i++)
    {
        if (i == e.ColumnIndex)
            continue;
        dataGridView1.Columns[i].HeaderCell.SortGlyphDirection = SortOrder.None;
    }
    var column = dataGridView1.Columns[e.ColumnIndex];
    if (column.SortMode != DataGridViewColumnSortMode.Programmatic)
        return;
    var sortGlyphDirection = column.HeaderCell.SortGlyphDirection;
    switch (sortGlyphDirection)
    {
        case SortOrder.None:
        case SortOrder.Ascending:
            addressBindingSource.Sort = columnIndexPropertyNameDictionary[e.ColumnIndex] + " ASC";
            column.HeaderCell.SortGlyphDirection = SortOrder.Descending;
            break;
        case SortOrder.Descending:
            addressBindingSource.Sort = columnIndexPropertyNameDictionary[e.ColumnIndex] + " DESC";
            column.HeaderCell.SortGlyphDirection = SortOrder.Ascending;
            break;
    }
}
Sorting still doesn't work. What am I doing wrong?
The problem is that out of the box the BindingList does not support sorting! I know - sounds dumb but that is how it is.
You need to implement your own SortableBindingList. An example of the code for that is below.
This code came from here and I don't have time to check it thoroughly. If it doesn't work then google the term SortableBindingList, there are lots of implementations out there.
public class SortableBindingList<t> : BindingList<t>
{
    private bool m_Sorted = false;
    private ListSortDirection m_SortDirection = ListSortDirection.Ascending;
    private PropertyDescriptor m_SortProperty = null;
    protected override bool SupportsSortingCore
    {
        get
        {
            return true;
        }
    }
    protected override bool IsSortedCore
    {
        get
        {
            return m_Sorted;
        }
    }
    protected override ListSortDirection SortDirectionCore
    {
        get
        {
            return m_SortDirection;
        }
    }
    protected override PropertyDescriptor SortPropertyCore
    {
        get
        {
            return m_SortProperty;
        }
    }
    protected override void ApplySortCore(PropertyDescriptor prop, ListSortDirection direction)
    {
        m_SortDirection = direction;
        m_SortProperty = prop;
        var listRef = this.Items as List<t>;
        if (listRef == null)
            return;
        var comparer = new SortComparer<t>(prop, direction);
        listRef.Sort(comparer);
        OnListChanged(new ListChangedEventArgs(ListChangedType.Reset, -1));
   }
}
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