Currently you can choose to sort based on another column, such as sorting a month name by the month number. However, this option does not exist in direct query mode. Please extend this functionalit...
I am all for this enhancement. In the meantime you have to build the field so it would sort correctly as an alpha field. For example day of week you would have to build the value like this: "10, 21 Fri", "10, 22 Sat", "10, 23 Sun", etc...
