Yes, always liquid first, then powder, then ice. And shake, shake, shake!
They sell replacements of those little metal balls that some shaker bottles include online. If it continues to be an issue, you might try dropping one of those in there too. I haven’t tried that but then again, I shake it like I mean it! Woohoo! 
Or you could just embrace and chew the clumps!
Anyone see those Shake Weight exercise things? I sometimes feel like I’m mimicking that commercial. 
I also use my cats as weights when I exercise. They don’t complain…hmmm…or maybe they’re just too shocked to form a response so far. I may not be a responsible source of advice.