I try to do something like this:
<DataGrid Name="myGrid" ItemSource="{Binding Path=MyCollection}">
<DataGrid.ContextMenu>
<ContextMenu>
<MenuItem
Command="{Binding RemoveRow}"
CommandParameter="{Binding ElementName=myGrid, Path=SelectedItem}">
</ContextMenu>
</DataGridContextMenu>
</DataGrid>
but I got null always (I tried also SelectedIndex and SelectedValue)
if I pass the following parameter to the execution code, it works:
<MenuItem Command="{Binding RemoveRow}" CommandParameter="1">
Try something like this in your CommandParameter,
<DataGrid.ContextMenu>
<ContextMenu>
<MenuItem Header="MyHeader"
Command="{Binding MyCommand}"
CommandParameter="{Binding RelativeSource={RelativeSource FindAncestor, AncestorType={x:Type ContextMenu}}, Path=PlacementTarget.SelectedItem}" />
</DataGrid.ContextMenu>
I already tested it and it should work.