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If the shingles are plain old three tab and you are lapping the valley, then do the side with the lower pitch first.
Architectural shingles or wood shingles do not lend themselves to lapped valleys or to weaving. With this kind of shingle, you need a metal valley with any pitch. But with multipole pitches, you need to have the valley metal made up at a sheet metal shop in a "W" style. this has a peak bent into it in the center to divert water. The diverter is needed when multiple pitches shed water at differing amounts or velocities.