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How can I use the other date format e.g. DD/MM/YYYY in dhtmlxGrid for sorting?

Which method should I call?

The pro version of grid allows to set custom sorting rules
    http://dhtmlx.com/docs/products/dhtmlxGrid/samples/rows_columns_manipulations/pro_sort.html
so it possible to defined rules for your custom date format as well.

Also, when you are using dhxCalendar or calendar excells it possible to use
    grid.setDateFormat
command, which allow to defined custom date format. Sorting for such column with work automatically.