There is an easy way to delete duplicate rows.
In a first step, we will sort the records and add a rownumber.
Second step will be deleting rows with rownumber > 1.
WITH CTE AS
(
SELECT  *
       ,ROW_NUMBER() OVER 
                (PARTITION BY id, updatetime
                     ORDER BY id, updatetime, UpdateMillisec ASC
                     ) AS RowNum
  FROM yourtable
)
SELECT * FROM CTE                    -- for checking the result before deleting
-- DELETE FROM CTE WHERE RowNum > 1  -- uncomment this row for the final DELETE
Attention: 
 
To identify, which is the first record and which is a following (second, third,..) record, we have to sort the data. 
Before deleting them, always check the resultset with a SELECT * FROM CTE first
In your case i checked the resultset of the above query, which is:
id  lastprice   updatetime          UpdateMillisec  RowNum
211709  51370   09:30:00.0000000    500             1
211709  51380   09:30:01.0000000    0               1
211709  51370   09:30:01.0000000    500             2
211709  51370   09:30:02.0000000    0               1
211709  51370   09:30:02.0000000    500             2
211709  51370   09:30:03.0000000    0               1
211709  51370   09:30:04.0000000    0               1
211709  51370   09:30:04.0000000    500             2
As we can see, exactly those records, which you want to delete, have RowNum = 2. So finally we can change the SELECT * to a DELETE and execute the query again.