Recording set with audacity

I am trying to record my dj set using cdm-850's with audacity. Can anyone tell me the cables and set up you need for this to work? At the moment i have a USB cable going from the cdj mixer to the PC. But that is the only connection between these two i have. Then i have a scarlett 2i2 connected to the PC and also connected to two studio monitors. Is there another cable i need connected from the PC to the mixer? Currently i go into audacity and the only recording device i can see is the scarlett 2i2, but no cdj - 850 option. Anyone have this problem or know how to help?

Thanks