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In general, you should always apply for visas in reverse order of your itinerary. That is, apply first for the visa of the last country you visit or transit, and apply last for the visa of the first country you visit or transit.
This is because countries in the middle of your itinerary will want to know that you can lawfully enter the next country on your itinerary. This is of particular importance for Schengen visas; if you can't demonstrate that you can lawfully enter the next country on your itinerary, and that you have the money to do so, your visa may be refused.