1. You should lodge an FIR immediately under 376, 412,506,ipc and sec.4 of the dowry prohibition act.
2. Do not shy away from filing a complaint. You have not done anything wrong as your engagement has over, it's under the impression that you are his fiancee, you have been put to physical relationship which is an offence once he called off the engagement stating dowry issues.
3. if you delay he will getaway with obtaining an anticipatory bail so , go to your nearest police station give all details of your engagement ceremony, demands of money, and the incident of sexual relationship, which amounts to rape.
Please collect yourself and have the courage to take legal steps, first by initiating the FIR, then proceeding to depose in the court and not making a compromise for any reasons. Due to the reasons if a man abandons the woman after a promise of marriage and sexual relationship by making her believe that he is going to marry her .
You will not have to undergo any sorts of embarrassment as your family is with you , law is in your side, and it is also crime against your parents as they are also put to such humiliation by demanding dowry.