Also build compression libraries on AppVeyor CI (#5226)

Summary:
This adds some compression dependencies to AppVeyor CI (those whose builds can be easily scripted on Windows, i.e. Snappy, LZ4, and ZStd).

Let's see if the CI passes ;-)
Pull Request resolved: https://github.com/facebook/rocksdb/pull/5226

Differential Revision: D15967223

fbshipit-source-id: 0914c613ac358cbb248df75cdee8099e836828dc

appveyor.yml

@@ -1,15 +1,67 @@
 version: 1.0.{build}
+
 image: Visual Studio 2017
+
+environment:
+  JAVA_HOME: C:\Program Files\Java\jdk1.8.0
+  THIRDPARTY_HOME: $(APPVEYOR_BUILD_FOLDER)\thirdparty
+  SNAPPY_HOME: $(THIRDPARTY_HOME)\snappy-1.1.7
+  SNAPPY_INCLUDE: $(SNAPPY_HOME);$(SNAPPY_HOME)\build
+  SNAPPY_LIB_DEBUG: $(SNAPPY_HOME)\build\Debug\snappy.lib
+  SNAPPY_LIB_RELEASE: $(SNAPPY_HOME)\build\Release\snappy.lib
+  LZ4_HOME: $(THIRDPARTY_HOME)\lz4-1.8.3
+  LZ4_INCLUDE: $(LZ4_HOME)\lib
+  LZ4_LIB_DEBUG: $(LZ4_HOME)\visual\VS2010\bin\x64_Debug\liblz4_static.lib
+  LZ4_LIB_RELEASE: $(LZ4_HOME)\visual\VS2010\bin\x64_Release\liblz4_static.lib
+  ZSTD_HOME: $(THIRDPARTY_HOME)\zstd-1.4.0
+  ZSTD_INCLUDE: $(ZSTD_HOME)\lib;$(ZSTD_HOME)\lib\dictBuilder
+  ZSTD_LIB_DEBUG: $(ZSTD_HOME)\build\VS2010\bin\x64_Debug\libzstd_static.lib
+  ZSTD_LIB_RELEASE: $(ZSTD_HOME)\build\VS2010\bin\x64_Release\libzstd_static.lib
+
+install:
+  - md %THIRDPARTY_HOME%
+  - echo "Building Snappy dependency..."
+  - cd %THIRDPARTY_HOME%
+  - curl -fsSL -o snappy-1.1.7.zip https://github.com/google/snappy/archive/1.1.7.zip
+  - unzip snappy-1.1.7.zip
+  - cd snappy-1.1.7
+  - mkdir build
+  - cd build
+  - cmake -DCMAKE_GENERATOR_PLATFORM=x64 ..
+  - msbuild Snappy.sln /p:Configuration=Debug /p:Platform=x64
+  - msbuild Snappy.sln /p:Configuration=Release /p:Platform=x64
+  - echo "Building LZ4 dependency..."
+  - cd %THIRDPARTY_HOME%
+  - curl -fsSL -o lz4-1.8.3.zip https://github.com/lz4/lz4/archive/v1.8.3.zip
+  - unzip lz4-1.8.3.zip
+  - cd lz4-1.8.3\visual\VS2010
+  - ps: $CMD="C:\Program Files (x86)\Microsoft Visual Studio\2017\Community\Common7\IDE\devenv.com"; & $CMD lz4.sln /upgrade
+  - msbuild lz4.sln /p:Configuration=Debug /p:Platform=x64
+  - msbuild lz4.sln /p:Configuration=Release /p:Platform=x64
+  - echo "Building ZStd dependency..."
+  - cd %THIRDPARTY_HOME%
+  - curl -fsSL -o zstd-1.4.0.zip https://github.com/facebook/zstd/archive/v1.4.0.zip
+  - unzip zstd-1.4.0.zip
+  - cd zstd-1.4.0\build\VS2010
+  - ps: $CMD="C:\Program Files (x86)\Microsoft Visual Studio\2017\Community\Common7\IDE\devenv.com"; & $CMD zstd.sln /upgrade
+  - msbuild zstd.sln /p:Configuration=Debug /p:Platform=x64
+  - msbuild zstd.sln /p:Configuration=Release /p:Platform=x64
+
 before_build:
-- md %APPVEYOR_BUILD_FOLDER%\build
-- cd %APPVEYOR_BUILD_FOLDER%\build
-- cmake -G "Visual Studio 15 Win64" -DOPTDBG=1 -DWITH_XPRESS=1 -DPORTABLE=1 -DJNI=1 ..
-- cd ..
+  - md %APPVEYOR_BUILD_FOLDER%\build
+  - cd %APPVEYOR_BUILD_FOLDER%\build
+  - cmake -G "Visual Studio 15 Win64" -DOPTDBG=1 -DPORTABLE=1 -DSNAPPY=1 -DLZ4=1 -DZSTD=1 -DXPRESS=1 -DJNI=1 ..
+  - cd ..
 build:
   project: build\rocksdb.sln
   parallel: true
   verbosity: normal
+
 test:
+
 test_script:
-- ps: build_tools\run_ci_db_test.ps1 -SuiteRun db_basic_test,db_test2,db_test,env_basic_test,env_test -Concurrency 8
+  - ps: build_tools\run_ci_db_test.ps1 -SuiteRun db_basic_test,db_test2,db_test,env_basic_test,env_test -Concurrency 8
+
+on_failure:
+  - cmd: 7z a build-failed.zip %APPVEYOR_BUILD_FOLDER%\build\ && appveyor PushArtifact build-failed.zip