Mein Auftrag ist es, mit Ihnen zu gehen.

English Translation

My orders are to go with you.

Is “Befehl” possible?

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That depends on the situation.
Only a soldier or maybe a policeman would say “Befehl”.
The word “Befehl” in German ist generally (pun not intended) restricted to the military world. It is still found in some harsh composita like “Strafbefehl” = “penal order”, but even that sounds “Prussian” today.

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Interestingly, the real life sentences on reverso.net for Auftrag tend toward commerce, as usual, here, goods ordered, charge per order (pro Auftrag), and on behalf (im Auftrag).