import psycopg2
from psycopg2.extensions import cursor

class ErrorThrowingCursor(cursor):
    def __init__(self, conn, *args, **kwargs):
        self.conn = conn
        super(ErrorThrowingCursor, self).__init__(*args, **kwargs)

    def execute(self, query, vars=None):
        result = super(ErrorThrowingCursor, self).execute(query, vars)

        for notice in conn.notices:
            level, message = notice.split(": ")
            if level == "WARNING":
                raise psycopg2.Warning(message.strip())

        return result

conn = psycopg2.connect(user="user", password="secret")
cursor = conn.cursor(conn, cursor_factory=ErrorThrowingCursor)

psycopg2.Warning: there is already a transaction in progress