OK, thanks Frans and Walaa...!!
It works like crazy, and here's my code :
sorter.Add(SortClauseFactory.Create(TransactionFieldIndex.TransactionDate, SortOperator.Descending))
'define depot filter for subquery :
depotfilter.Add(CompareExpression(TransactionFieldIndex.DepotId, ComparisonOperator.Equal, New Expression(EntityFieldFactory.Create(DepotFieldIndex.DepotId))))
'Add the SetOperator to the filter (=SUBQUERY) and sort DESC on TransactionDate
filter.Add(New FieldCompareSetPredicate(EntityFieldFactory.Create(TransactionFieldIndex.TransactionId), EntityFieldFactory.Create(TransactionFieldIndex.TransactionId), SetOperator.Equal, depotfilter, Nothing, "", 1, sorter))
result = FetchTypedList(fields, filter, relations, sorter, False, 0, Nothing)