You'll need to build RocksDB v5.5+ on your machine.
After that, you can install gorocksdb using the following command:
CGO_CFLAGS="-I/path/to/rocksdb/include" \
CGO_LDFLAGS="-L/path/to/rocksdb -lrocksdb -lstdc++ -lm -lz -lbz2 -lsnappy -llz4" \
go get github.com/youzan/gorocksdb
Please note that this package might upgrade the required RocksDB version at any moment. Vendoring is thus highly recommended if you require high stability.