I often see developers trying following syntax while using ORDER BY.

SELECT Columns
FROM TABLE1
ORDER BY Columns
UNION ALL
SELECT Columns
FROM TABLE2
ORDER BY Columns

However the above query will return following error.

Msg 156, Level 15, State 1, Line 5
Incorrect syntax near the keyword ‘ORDER’.

It is not possible to use two different ORDER BY in the UNION statement. UNION returns single resultsetand as per the Logical Query Processing Phases.

However, if your requirement is such that you want your top and bottom query of the UNION resultset independently sorted but in the same resultset you can add an additional static column and order by that column. Let us re-create the same scenario.

First create two tables and populated with sample data.

USE tempdb
GO
-- Create table
CREATE TABLE t1 (ID INT, Col1 VARCHAR(100));
CREATE TABLE t2 (ID INT, Col1 VARCHAR(100));
GO
-- Sample Data Build
INSERT INTO t1 (ID, Col1)
SELECT 1, 'Col1-t1'
UNION ALL
SELECT 2, 'Col2-t1'
UNION ALL
SELECT 3, 'Col3-t1';
INSERT INTO t2 (ID, Col1)
SELECT 3, 'Col1-t2'
UNION ALL
SELECT 2, 'Col2-t2'
UNION ALL
SELECT 1, 'Col3-t2';
GO

If we SELECT the data from both the table using UNION ALL .

-- SELECT without ORDER BY
SELECT ID, Col1
FROM t1
UNION ALL
SELECT ID, Col1
FROM t2
GO

We will get the data in following order.

However, our requirement is to get data in following order.

If we need data ordered by Column1 we can ORDER the resultset ordered by Column1.

-- SELECT with ORDER BY
SELECT ID, Col1
FROM t1
UNION ALL
SELECT ID, Col1
FROM t2
ORDER BY ID
GO

Now to get the data in independently sorted in UNION ALL let us add additional column OrderKey and use ORDER BY  on that column. I think the description does not do proper justice let us see the example here.

-- SELECT with ORDER BY - with ORDER KEY
SELECT ID, Col1, 'id1' OrderKey
FROM t1
UNION ALL
SELECT ID, Col1, 'id2' OrderKey
FROM t2
ORDER BY OrderKey, ID
GO

The above query will give the desired result.

Now do not forget to clean up the database by running the following script.

-- Clean up
DROP TABLE t1;
DROP TABLE t2;
GO

Here is the complete script used in this example.

USE tempdb
GO
-- Create table
CREATE TABLE t1 (ID INT, Col1 VARCHAR(100));
CREATE TABLE t2 (ID INT, Col1 VARCHAR(100));
GO
-- Sample Data Build
INSERT INTO t1 (ID, Col1)
SELECT 1, 'Col1-t1'
UNION ALL
SELECT 2, 'Col2-t1'
UNION ALL
SELECT 3, 'Col3-t1';
INSERT INTO t2 (ID, Col1)
SELECT 3, 'Col1-t2'
UNION ALL
SELECT 2, 'Col2-t2'
UNION ALL
SELECT 1, 'Col3-t2';
GO
-- SELECT without ORDER BY
SELECT ID, Col1
FROM t1
UNION ALL
SELECT ID, Col1
FROM t2
GO
-- SELECT with ORDER BY
SELECT ID, Col1
FROM t1
UNION ALL
SELECT ID, Col1
FROM t2
ORDER BY ID
GO
-- SELECT with ORDER BY - with ORDER KEY
SELECT ID, Col1, 'id1' OrderKey
FROM t1
UNION ALL
SELECT ID, Col1, 'id2' OrderKey
FROM t2
ORDER BY OrderKey, ID
GO
-- Clean up
DROP TABLE t1;
DROP TABLE t2;
GO

I am sure there are many more ways to achieve this, what method would you use if you have to face the similar situation?

Reference: Pinal Dave (http://blog.sqlauthority.com)