Passing a vector/array from unmanaged C++ to C#

As long as the managed code does not resize the vector, you can access the buffer and pass it as a pointer with vector.data() (for C++0x) or &vector[0]. This results in a zero-copy system.

Example C++ API:

#define EXPORT extern "C" __declspec(dllexport)

typedef intptr_t ItemListHandle;

EXPORT bool GenerateItems(ItemListHandle* hItems, double** itemsFound, int* itemCount)
{
    auto items = new std::vector<double>();
    for (int i = 0; i < 500; i++)
    {
        items->push_back((double)i);
    }

    *hItems = reinterpret_cast<ItemListHandle>(items);
    *itemsFound = items->data();
    *itemCount = items->size();

    return true;
}

EXPORT bool ReleaseItems(ItemListHandle hItems)
{
    auto items = reinterpret_cast<std::vector<double>*>(hItems);
    delete items;

    return true;
}

Caller:

static unsafe void Main()
{
    double* items;
    int itemsCount;
    using (GenerateItemsWrapper(out items, out itemsCount))
    {
        double sum = 0;
        for (int i = 0; i < itemsCount; i++)
        {
            sum += items[i];
        }
        Console.WriteLine("Average is: {0}", sum / itemsCount);
    }

    Console.ReadLine();
}

#region wrapper

[DllImport("Win32Project1", ExactSpelling = true, CallingConvention = CallingConvention.Cdecl)]
static unsafe extern bool GenerateItems(out ItemsSafeHandle itemsHandle,
    out double* items, out int itemCount);

[DllImport("Win32Project1", ExactSpelling = true, CallingConvention = CallingConvention.Cdecl)]
static unsafe extern bool ReleaseItems(IntPtr itemsHandle);

static unsafe ItemsSafeHandle GenerateItemsWrapper(out double* items, out int itemsCount)
{
    ItemsSafeHandle itemsHandle;
    if (!GenerateItems(out itemsHandle, out items, out itemsCount))
    {
        throw new InvalidOperationException();
    }
    return itemsHandle;
}

class ItemsSafeHandle : SafeHandleZeroOrMinusOneIsInvalid
{
    public ItemsSafeHandle()
        : base(true)
    {
    }

    protected override bool ReleaseHandle()
    {
        return ReleaseItems(handle);
    }
}

#endregion