Could you please tell me what is the closest data type in C++ to python list? If there is nothing similar, how would you build it in C++?
There is no real equivalent, and it would be extremely difficult
to provide one.  Python and C++ are radically different
languages, and providing one really wouldn't make much sense in
the context of C++.  The most important differences are that
everything in Python is dynamically allocated, and is an
"object", and that Python uses duck typing.
FWIW: one very early library (before templates) in C++ did offer
containers of Object*, with derived classes to box int,
double, etc.  Actual experience showed very quickly that it
wasn't a good idea.  (And I'm curious: does any one else
remember it?  And particularly, exactly what it was 
called---something with NHS in it, but I can't remember more.)
Python list equivalent in C++?