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It really depends on what you mean by "compound". If you're taking about a true rubbing compound, that is so abrasive you don't really need to claybar. If you want to polish in place of compound, then clay first.
First I would say, do not compound your car without proper experience because a compound significantly reduces clearcoat and if not done correctly, one could burn through it and into the paint. Always start with the least abrasive product that will get the job done and go from there as needed.
You do not need to use spray detailer. I would suggest claying before polishing/compounding because if there is fallout on the paint and you do not remove it before polishing, the pad will pick up this debris and likely swirl/scratch your paint as you spin it across the surface at 1000+ rpms.