If you set grid.PageMode= false, you can use the same capabilities to filter as for a TAdvStringGrid

If you want to use the built-in sorting capabilities of the grid, you need to set grid.PageMode= false, but you can as well perform sorting on dataset level instead with PageMode = true.

Please have a look at the demos ADOSort / BDESort in the TDBAdvGrid samples distribution as well as the topic on sorting in the TDBAdvGrid PDF developers guide that explains how you can use the OnCanSort event to achieve this.