BUG: Slicing DatetimeIndex with strings containing microseconds raising KeyError (#39378)

Author: phofl

doc/source/whatsnew/v1.3.0.rst

@@ -290,6 +290,7 @@ Indexing
 - Bug in :meth:`DataFrame.iloc.__setitem__` and :meth:`DataFrame.loc.__setitem__` with mixed dtypes when setting with a dictionary value (:issue:`38335`)
 - Bug in :meth:`DataFrame.__setitem__` not raising ``ValueError`` when right hand side is a :class:`DataFrame` with wrong number of columns (:issue:`38604`)
 - Bug in :meth:`DataFrame.loc` dropping levels of :class:`MultiIndex` when :class:`DataFrame` used as input has only one row (:issue:`10521`)
+- Bug in :meth:`DataFrame.__getitem__` and :meth:`Series.__getitem__` always raising ``KeyError`` when slicing with existing strings an :class:`Index` with milliseconds (:issue:`33589`)
 - Bug in setting ``timedelta64`` values into numeric :class:`Series` failing to cast to object dtype (:issue:`39086`)
 - Bug in setting :class:`Interval` values into a :class:`Series` or :class:`DataFrame` with mismatched :class:`IntervalDtype` incorrectly casting the new values to the existing dtype (:issue:`39120`)
 - Bug in incorrectly raising in :meth:`Index.insert`, when setting a new column that cannot be held in the existing ``frame.columns``, or in :meth:`Series.reset_index` or :meth:`DataFrame.reset_index` instead of casting to a compatible dtype (:issue:`39068`)

pandas/core/indexes/datetimes.py

@@ -565,6 +565,7 @@ def _parsed_string_to_bounds(self, reso: Resolution, parsed: datetime):
             "second",
             "minute",
             "second",
+            "millisecond",
             "microsecond",
         }
         if reso.attrname not in valid_resos:

pandas/tests/indexing/test_datetime.py

@@ -231,3 +231,24 @@ def test_loc_setitem_with_existing_dst(self):
             dtype=object,
         )
         tm.assert_frame_equal(result, expected)
+
+    def test_getitem_millisecond_resolution(self, frame_or_series):
+        # GH#33589
+        obj = frame_or_series(
+            [1, 2, 3, 4],
+            index=[
+                Timestamp("2017-10-25T16:25:04.151"),
+                Timestamp("2017-10-25T16:25:04.252"),
+                Timestamp("2017-10-25T16:50:05.237"),
+                Timestamp("2017-10-25T16:50:05.238"),
+            ],
+        )
+        result = obj["2017-10-25T16:25:04.252":"2017-10-25T16:50:05.237"]
+        expected = frame_or_series(
+            [2, 3],
+            index=[
+                Timestamp("2017-10-25T16:25:04.252"),
+                Timestamp("2017-10-25T16:50:05.237"),
+            ],
+        )
+        tm.assert_equal(result, expected)