From 9e81fc257f452a77760c2529fea1ab5fee9c3c8b Mon Sep 17 00:00:00 2001
From: Martin Molinero <martin.molinero1@gmail.com>
Date: Thu, 1 Feb 2024 11:17:00 -0300
Subject: [PATCH] Filter repeated trade ids

---
 .../CoinbaseBrokerage.Messaging.cs                  | 13 +++++++++++++
 .../Models/WebSocket/CoinbaseMarketTradesEvent.cs   |  2 +-
 2 files changed, 14 insertions(+), 1 deletion(-)

diff --git a/QuantConnect.CoinbaseBrokerage/CoinbaseBrokerage.Messaging.cs b/QuantConnect.CoinbaseBrokerage/CoinbaseBrokerage.Messaging.cs
index 73548b8..44dfc94 100644
--- a/QuantConnect.CoinbaseBrokerage/CoinbaseBrokerage.Messaging.cs
+++ b/QuantConnect.CoinbaseBrokerage/CoinbaseBrokerage.Messaging.cs
@@ -53,6 +53,11 @@ public partial class CoinbaseBrokerage
         /// </example>
         private readonly ConcurrentDictionary<Symbol, List<DefaultOrderBook>> _orderBooks = new();
 
+        /// <summary>
+        /// Sometimes coinbase likes to duplicate the trades, let's ignore old trade ids
+        /// </summary>
+        private readonly ConcurrentDictionary<Symbol, Tuple<long, DateTime>> _tradeIds = new();
+
         /// <summary>
         /// Represents a rate limiter for controlling the frequency of WebSocket operations.
         /// </summary>
@@ -337,6 +342,14 @@ private void EmitTradeTick(CoinbaseMarketTradesEvent tradeUpdates)
             {
                 var symbol = _symbolMapper.GetLeanSymbol(trade.ProductId, SecurityType.Crypto, MarketName);
 
+                if (_tradeIds.TryGetValue(symbol, out var lastTradeData)
+                    // ignore old trade ids as long as they have an old timestamp too, just in case it restarted
+                    && lastTradeData.Item1 > trade.TradeId && lastTradeData.Item2 > trade.Time.UtcDateTime)
+                {
+                    continue;
+                }
+                _tradeIds[symbol] = new (trade.TradeId, trade.Time.UtcDateTime);
+
                 var tick = new Tick
                 {
                     Value = trade.Price.Value,
diff --git a/QuantConnect.CoinbaseBrokerage/Models/WebSocket/CoinbaseMarketTradesEvent.cs b/QuantConnect.CoinbaseBrokerage/Models/WebSocket/CoinbaseMarketTradesEvent.cs
index 0953ec0..804ee0a 100644
--- a/QuantConnect.CoinbaseBrokerage/Models/WebSocket/CoinbaseMarketTradesEvent.cs
+++ b/QuantConnect.CoinbaseBrokerage/Models/WebSocket/CoinbaseMarketTradesEvent.cs
@@ -29,7 +29,7 @@ public class CoinbaseMarketTradesEvent : WebSocketEvent
 public class Trade
 {
     [JsonProperty("trade_id")]
-    public string TradeId { get; set; }
+    public long TradeId { get; set; }
 
     [JsonProperty("product_id")]
     public string ProductId { get; set; }