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++?
Actually no C++ container is equivalent to Python's list, which is partially a result of the very different object models of C++ and Python. In particular, the suggested and upvoted std::list is IMHO not even close to Python's list type, a I'd rather suggest std::vector or maybe std::deque. That said, it isn't clear what exactly it is that you want and how to "build it" strongly depends on what exactly "it" is, i.e. what you expect from the container.
I'd suggest you take a look at the C++ containers std::vector, std::deque and std::list to get an overview. Then look at things like Boost.Any and Boost.Variant that you can combine with them, maybe also one of the smart pointers and Boost.Optional. Finally, check out Boost.Container and Boost.Intrusive. If the unlikely case that none of these provide a suitable approximation, you need to provide a better explanation of what your actual goals are.
Python list equivalent in C++?