Set is an obvious choice, if I do not want to have duplication on my list of data.
However, Set doesn't have get(int index) method : Why doesn't java.util.Set have get(int index)?
Several suggestions to implement a pseudo get(int index) and none of them are efficient.
toArray and access the new array by index.for loop to access the indexed element by count.Is there any advanced data structure, which enables me to
get(int index).

The simplest approach is to have a composite collection which contains a HashSet and an ArrayList. Your add operation would try to add it to the set, and only add it to the list if that has actually added a new item. The get operation would just get from the list.
Do you ever need to remove values? If not, that makes life simpler - otherwise, removing an item would be an O(N) operation. Not necessarily a problem, but something to bear in mind.
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