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What is correct, "firstly done", or "first done". For example, in the sentence:

Investigating tropical insects was firstly done by James T. Shaw.

I guess "firstly" is correct, but actually "first done" seem to be used more often... so I am unsure?

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In modern times, "firstly" in this context is rarely used. From Merriam-Webster:

Even though they are both adverbs, first and firstly are hardly interchangeable in all situations: we never say “firstly of all” or “I firstly noticed it yesterday,” but these differences amount to idiomatic usage—the habits of centuries—and not grammar. In writing, first is much more common than firstly and is probably the best bet for most situations, even if the only reason is that a reader may wonder if firstly is proper and be distracted by this word choice. You might say that the conspiracy has succeeded by maintaining this word's slightly disrespectable reputation.

(emphasis mine)

I would say "first done" seem to be used much more often.

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I would say

Investigating tropical insects was initially/originally done by James T. Shaw.

Investigating tropical insects was done first by James T. Shaw.

James T. Shaw was the first person who investigated tropical insects.

I am not sure if firstly can be used there though. Nowadays, its application limited to referring to the first thing in a list as in

Firstly, I would love to see the Colosseum. Secondly, I’m sure the pope is dying to meet me.

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