Product based models, which represent multi-field categorical data as embedding vectors of features, then model feature interactions in terms of vector product of shared embedding, have been extensively studied and have become one of the most popular techniques for CTR prediction. However, if the shared embedding is applied: (1) the angles of feature interactions of different orders may conflict with each other, (2) the gradients of feature interactions of high-orders may vanish, which result in learned feature interactions less effective. To solve these problems, we propose a novel technique named Order-aware Embedding (i.e., multi-embeddings are learned for each feature, and different embeddings are applied for feature interactions of different orders), which can be applied to various models and generates feature interactions more effectively. We further propose a novel order-aware embedding neural network (OENN) based on this embedding technique for CTR prediction. Extensive experiments on three publicly available datasets demonstrate the effectiveness of Order-aware Embedding and show that our OENN outperforms the state-of-the-art models.