What format string do I use for milliseconds in date strings on iPhone?

It's SSS, per the Unicode Locale Data Markup Language spec.

"yyyy-MM-dd'T'HH:mm:ss.SSS"

More generally, use any number of upper-case S characters to get that many decimal places in the fractions-of-a-second component. (So ss.S will show the time to the nearest tenth of a second, for example.)

The Date Format Patterns guide suggests that "S" is the format specifier for fractions of seconds.

You need to pass same number of 'S' at the end for example My Date was '2015-11-17T03:36:45.041503Z' the i used 'yyyy-MM-dd'T'HH:mm:ss.SSSSSSz' formatter, I mean see the number of 'S' is 6 as 6 digit coming in date.