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We have a grid with 2 rows,2 columns and 2 attached headers,now when user perform insert column operation on grid,a column gets inserted but without attached headers,attached header's space remains empty.what if user wants to insert column with attached header in between the grid?

The insertColumn operatin adds the cells in all headers line, but it doesn't fill them with data, so they may look as empty space.
You can try to fill them by direct DOM access after adding new column

    grid.hdr.rows[hdr_row_index].cells[column_index].innerHTML="header_label";