ColumnHeader arrows not reflected when sorting a DataGrid in XAML

Question

I have a DataGrid with some sorting defined in XAML like so:

Answer 1

The OP doesn't look like to be a regular visitor so until that moment I post his solution as an answer:

Add the SortDirection to the DataGridTextColumn in the DataGrid. This added the ColumnHeader arrows.

<DataGridTextColumn Header="Ext Firm #" 
                    Binding="{Binding ExternalOrgNo}" 
                    DisplayIndex="4" 
                    SortDirection="Ascending" 
                    Visibility="Visible" />
<DataGridTextColumn Header="Ext Branch #" 
                    Binding="{Binding ExternalBranchNumber}" 
                    DisplayIndex="5" 
                    SortDirection="Ascending" 
                    Visibility="Visible" />