I want this command in windows with
cygwin installed, so any Linux command will work for me.
date +%H:%M:%S:%N will give you the current time with nano seconds, you could then chop off however many digits or rearrange the time to how you wish to have it.
date --help can give you some other configuration options
If you want to get milliseconds instead of nanoseconds, you may simply use
%3N to truncate the nanoseconds to the 3 most significant digits:
$ date +"%Y-%m-%d %H:%M:%S,%3N" 2014-01-08 16:00:12,746
$ date +"%F %T,%3N" 2014-01-08 16:00:12,746
testet with »GNU bash, Version 4.2.25(1)-release (i686-pc-linux-gnu)«
Also tested successfully in my cygwin installation.
But be aware, that %N may not implemented depending on your target system or bash version.
Tested on an embedded system »GNU bash, version 4.2.37(2)-release (arm-buildroot-linux-gnueabi)« there was no
date +"%F %T,%N" 2014-01-08 16:44:47,%N