To post values immediately, subscribe to the CellValueChanging event and call the View.PostEditor method.
If you don't want to handle events, check the E4155 - How to make GridControl immediately save changes in a cell after editing example demonstrating how to create a custom helper that does the entire job automatically.
UPDATE: Starting with version 15.1, you can use the DataViewBase.EnableImmediatePosting property to post values to a data source without leaving an edited cell.
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How to post values to underlying data properties immediately after changing a cell value in DXGrid
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