Mathematica 11.2 can do ZMQ socket programming now! But I cannot find out how to set subscribe channel from searching the doc. When using c language there is a function zsocket_set_subscribe
to set the subscribe channel, it seems lacking corresponding function in Mathematica Socket API .
(* To create socket *)
client = SocketConnect[{"Pub IP", Pub Port}, "ZMQ_SUB"]
(* Then how to set channel to receive message? *)
I also asked in the stackexchange and will sync if there is an answer.