You're reading the documentation for an older, but still supported, version of ROS 2. For information on the latest version, please have a look at Humble.
Eclipse Cyclone DDS
Eclipse Cyclone DDS is a very performant and robust open-source DDS implementation. Cyclone DDS is developed completely in the open as an Eclipse IoT project. See also: https://projects.eclipse.org/projects/iot.cyclonedds
The easiest way is to install from ROS 2 apt repository.
sudo apt install ros-foxy-rmw-cyclonedds-cpp
Build from source code
Building from source code is also another way to install.
First, clone Cyclone DDS and rmw_cyclonedds in the ROS 2 workspace source directory.
cd ros2_ws/src git clone https://github.com/ros2/rmw_cyclonedds ros2/rmw_cyclonedds -b foxy git clone https://github.com/eclipse-cyclonedds/cyclonedds eclipse-cyclonedds/cyclonedds
Then, install necessary packages for Cyclone DDS.
cd .. rosdep install --from src -i
Finally, run colcon build.
colcon build --symlink-install
Switch to rmw_cyclonedds
Switch from other rmw to rmw_cyclonedds by specifying the environment variable.
Run the talker and listener
listener to test Cyclone DDS.
ros2 run demo_nodes_cpp talker
ros2 run demo_nodes_cpp listener