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This is a fine line. Sometimes it's appropriate to disagree and have a conversation - other times, the chain of command needs to be respected. It's there for a reason, like the parent-child relationship.
It depends on who the superior is. There are some I'd be willing to speak up to respectfully. Others need to make it easier and more comfortable to do so, if they want to be good leaders.
Depends on if that superior officer is in my chain of command or not. If not, my reply would be “I'm sorry, sir (or ma'am), but [Commander's rank and name] ordered me to do X. If you would like, I can put you in touch him/her to deconflict this.”
If the superior officer is in my chain of command, I would follow the most recent order, but contact my commander and let them know about the override. That being said, superior officers don't often jump the chain of command going down, so the likelihood of this happening is rare to begin with.
You are expected to obey the highest officer in your chain of command. So if your first or second Lieutenant tells you to go take a hill but your captain says to avoid the hill at all costs, then you listen to the captain. The captain is your Lieutenant’s boss as well.
It can be tricky. Most Officers give orders somewhat hastily, as anything he tells you to do is technically an order. “Get me a cup of coffee" is an order. Is it illegal or immoral? You could argue that it is abusive, and therefore immoral. That is where tact comes in. If your commander says “I'm on a conference call and can't step away. Would you please bring me a cup of coffee?”, would you consider that to be abusive?
Hmm, it depends but hear me out. Most of the time they are simple things that even you may not realize are illegal. It is your responsibility as a good subordinate to be cognizant of the legality of what you are doing or what you are being told to do.
The fact is, you are mandated to follow your superiors. You don't want to be filed with an insubordination memo by your superiors. As long as he's not telling you to do something illegal then you should do what the person above you tells you to do.
I think as long as its not against the law you must follow it as their your superior.