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In this question the issue of using dates in data.tables was discussed. A solution is to use the built-in classes for time and dates. These work with a precision up to the second. Is there a work-around to handle milliseconds in indexed columns?
Yeah, data.table requires keys to be integers or similar (i.e. POSIXct rounded to seconds). I would work-around this by storing 1000 * timestamp as your key, and perhaps having a separate column which is the non-rounded POSIXct. Or you can convert to POSIXct on the fly whenever you need it.