The unit comes with everything you need. The shunt connects directly to the negative cable as it comes off the negative terminal. Victron supplies a small cable that connects to the battery positive terminal and then to the shunt. Here is a video from AM Solar.
I don't remember that mine came with that cable either, probably because its required length would vary, depending on shunt placement relative to the battery.
The cable would need to be #4 or #6 battery cable - check your existing battery cable, which I think is #6.
Edit: changed the link to show the 3/8" terminals.
2020 T@B 400 BDL TV 2018 Toyota Tacoma TRD Sport 3.5L 4WD with Firestone air bags. MODS: BMV-712 battery Monitor, MPPT 75/15 Charge Controller, Fantasic Fan PWM control Central Ohio
I wanted my shunt to be just outside the battery box, inside a waterproof box. I needed a flexible battery cable, because wrestling a "normal" cable through that maze was impossible for me. This one is "ultra flexible" and easily made the big bends needed. Comes in different lengths. I used the 2 footer (I think).