Elgato Thunderbolt™ 3 Dock comes with a 0.5 meter Thunderbolt 3 (USB-C) cable.

To use the Elgato Thunderbolt 3 Dock with full performance, you should use a Thunderbolt 3 cable rated for 40Gbps and 100W charging. Usually, such cables will have the Thunderbolt logo and a ‘3’ on the plug shell, and “100W” printed on the cable itself, close to the plug.

You can use the Elgato Thunderbolt 3 Dock with a 20Gbps Thunderbolt cable, but bandwidth will be reduced, preventing the use of dual 4K60 displays for example. You can also use a cable rated for 60W charging, but this will prevent the dock from charging your laptop at its maximum rate of 85W.
 
A “USB-C charging cable”, such as the one which comes with a Mac Book Pro, will not work.

USB-C Cables Can't Be Used To Connect Elgato Thunderbolt 3 Dock To Your Computer

You cannot use a standard USB-C cable to connect Elgato Thunderbolt 3 Dock to to your computer.  You must use a certified Thunderbolt 3 (USB-C) cable.

We recommend that you use the cable that came with Elgato Thunderbolt 3 Dock.