<Window x:Class="WpfDataGridCustomSort.MainWindow"
          xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
          xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
          xmlns:d="http://schemas.microsoft.com/expression/blend/2008"
          xmlns:mc="http://schemas.openxmlformats.org/markup-compatibility/2006"
          xmlns:local="clr-namespace:WpfDataGridCustomSort"
          mc:Ignorable="d"
          Title="MainWindow" Height="450" Width="800">
     <Grid>

          <DataGrid x:Name="MyGrid"
               AutoGenerateColumns="False"
               ItemsSource="{Binding MyData}"
               HorizontalContentAlignment="Stretch"
               VerticalContentAlignment="Stretch"
               FontFamily="Gisha" FontSize="20">

               <DataGrid.Columns>
                    <DataGridTextColumn Header="Customer" Binding="{Binding Customer}" />
                    <DataGridTextColumn Header="Item" Binding="{Binding Item}"/>
                    <DataGridTextColumn Header="Price" Binding="{Binding Price}"/>
               </DataGrid.Columns>

          </DataGrid>

     </Grid>
</Window>

using System.Collections;
using System.Collections.ObjectModel;
using System.ComponentModel;
using System.Windows;
using System.Windows.Controls;
using System.Windows.Data;

namespace WpfDataGridCustomSort
{
     public class MyShop
     {
          public string Customer { get; set; }
          public string Item { get; set; }
          public string Price { get; set; }
     }

     public partial class MainWindow : Window
     {
          public ObservableCollection<MyShop> MyData { get; set; }

          public MainWindow()
          {
               InitializeComponent();

               // for binding
               this.DataContext = this;

               // data for grid
               MyData = new ObservableCollection<MyShop>()
               {
                         new MyShop() {Customer="ACME", Item="Widget", Price="RUB:100"},
                         new MyShop() {Customer="ACME", Item="Widget", Price="EURO:100"},
                         new MyShop() {Customer="ACME", Item="Tyre", Price="RUB:200"},
                         new MyShop() {Customer="Amazon", Item="Pen", Price="EURO:50"},
                         new MyShop() {Customer="Amazon", Item="Paper", Price="RUB:20"},
                         new MyShop() {Customer="Autodesk", Item="CAD", Price="DOLLARS:10"},
                         new MyShop() {Customer="Autodesk", Item="File", Price="RUB:40"},
                         new MyShop() {Customer="ABC", Item="Flowers", Price="DOLLARS:503"},
                         new MyShop() {Customer="ABC", Item="Sand", Price="DOLLARS:50"}
               };

               // sorting
               MyGrid.Sorting += new DataGridSortingEventHandler(CustomSorting);
          }

          void CustomSorting(object sender, System.Windows.Controls.DataGridSortingEventArgs e)
          {
               DataGridColumn column = e.Column;

               // custom sort for column
               if (column.SortMemberPath == "Price")
               {
                    // Prevent auto sorting
                    e.Handled = true;

                    // sort direction
                    column.SortDirection = (column.SortDirection != ListSortDirection.Ascending) ? ListSortDirection.Ascending : ListSortDirection.Descending;

                    // comparer
                    ListCollectionView lcv = (ListCollectionView)CollectionViewSource.GetDefaultView(MyGrid.ItemsSource);
                    IComparer comparer = new MyComparer(column.SortDirection.Value);
                    lcv.CustomSort = comparer;
               }
          }
     }
}

using System;
using System.Collections;
using System.ComponentModel;
using System.Linq;

namespace WpfDataGridCustomSort
{
     public class MyComparer : IComparer
     {
          public MyComparer()
          {
          }

          public MyComparer(ListSortDirection sortDirection)
          {
               SortDirection = sortDirection;
          }

          public ListSortDirection SortDirection { get; set; }

          public int Compare(object obj1, object obj2)
          {
               string text1 = (obj1 as MyShop)?.Price;
               string text2 = (obj2 as MyShop)?.Price;
               if (text1 == null || text2 == null)
               {
                    return 0;
               }

               // find position 'i' where different symbols
               // example: text1 = "HD156"
               // example: text2 = "HD1789"
               // result: i = 3 ^
               var i = 0;
               while (i < text1.Length && i < text2.Length && text1[i] == text2[i])
               {
                    i++;
               }

               // make numbers (from position 'i' and until digit)
               // example: strNumber1 = "56" strNumber2 = "789"
               var strNumber1 = new string(text1.Substring(i).ToList().TakeWhile(c => Char.IsDigit(c)).ToArray());
               var strNumber2 = new string(text2.Substring(i).ToList().TakeWhile(c => Char.IsDigit(c)).ToArray());

               // compare as numbers
               if (int.TryParse(strNumber1, out var number1) && int.TryParse(strNumber2, out var number2))
               {
                    return SortDirection == ListSortDirection.Ascending ? number1.CompareTo(number2) : number2.CompareTo(number1);
               }

               // compare as strings
               return SortDirection == ListSortDirection.Ascending ? text1.CompareTo(text2) : text2.CompareTo(text1);
          }
     }
}