Is there any way to sort records?

If you are using the Transformer engine, there is a sort processor. Transformer processes entire datasets at a time. In Data Collector, the data is processed in micro batches based on the batch size you provide, so sorting would only happen on that batch. Typically, you would sort the data when you are reporting on the data after it is loaded. If you are using files as an origin, you could use the linux sort command to sort the file before processing.