Native build with Zlib or LZ4 linked

[saikatguha]

Issue: The current native build doesn't have Zlib or LZ4 linked in. There doesn't appear to be a way to plug-in these compression methods without directly linking into the native build. Zlib and LZ4 have perf characteristics that are better than Snappy in many workloads.

Request: Please link in additional compression methods with the native build, preferably Zlib and/or LZ4. Thanks!

[roja]

Would be better yet if it also included support for Zstd

[azhmur]

vcpkg worked great for me.

vcpkg install rocksdb[core,zlib,zstd,lz4,snappy]:x64-windows --recurse