In order to use the inproc:// transport, all of the sockets need to be sharing the same Context(which is thread-safe).
Also if you're using the same Context, you do not need any backend I/O threads for ZMQ
You do not mention which OS you're running under, but the ipc:// transport is only available under most *nix. Under windows you're only able to have the following transports: tcp://, inproc://, pgm://. Check out the zmq_connect documentation for more information.
