setup.py snippet for accessing pyzmq's Cython interface

cython_zmq_setup.py

# Check that ZMQ is installed at compile-time.  If it is, update our
# Cython include path to find the pyzmq .pxd files.  If not, print out
# a warning.

cython_include_path = []

try:
    import zmq
    cython_include_path.append(zmq.include_dir())
except ImportError:
    print "WARNING!"
    print "We need the pyzmq package installed at compile time in order"
    print "to build this package."

If you need to access pyzmq's .pxd files, add the above snippet to your setup.py file, and add

Extension(
  ...
  include_dirs=cython_include_path,
)

to all of your Extension modules.