With the current version of cppzmq, mtserver.cpp fails to build:
mtserver.cpp: In function 'int main()':
mtserver.cpp:52:5: error: 'device' is not a member of 'zmq'
The solution is to use zmq::proxy instead. Note that this requires a recent version of cppzmq (at least zeromq/cppzmq@34dd3a1).
Use zmq::proxy rather than zmq::device