How to customize matplotlib Multicursor?

EDIT: based on the comments below, I think you are looking for a "figure-level" cursor, which follows the mouse regardless of the axes you're hovering over. I've created a new class, based on the code for MultiCursor that should do what you had in mind.

class FigureCursor(Widget):
    def __init__(self, fig, horizOn=True, vertOn=True, useblit=True, **lineprops):
        self._cidmotion = None
        self._ciddraw = None
        self.background = None
        self.needclear = False
        self.visible = True
        self.canvas = fig.canvas
        self.fig = fig
        self.horizOn = horizOn
        self.vertOn = vertOn
        self.useblit = useblit
        self.vline, = fig.axes[0].plot([.5, .5], [0., 1.], visible=vertOn, transform=self.fig.transFigure,
                                       clip_on = False, **lineprops)
        self.hline, = fig.axes[0].plot([0., 1.], [.5, .5], visible=horizOn, transform=self.fig.transFigure,
                                       clip_on=False, **lineprops)
        self.connect()

    def connect(self):
        """connect events"""
        self._cidmotion = self.canvas.mpl_connect('motion_notify_event', self.onmove)
        self._ciddraw = self.canvas.mpl_connect('draw_event', self.clear)

    def disconnect(self):
        """disconnect events"""
        self.canvas.mpl_disconnect(self._cidmotion)
        self.canvas.mpl_disconnect(self._ciddraw)

    def clear(self, event):
        """clear the cursor"""
        if self.ignore(event):
            return
        if self.useblit:
            self.background = (
                self.canvas.copy_from_bbox(self.canvas.figure.bbox))
        for line in [self.vline, self.hline]:
            line.set_visible(False)

    def onmove(self, event):
        if self.ignore(event):
            return
        if event.inaxes is None:
            return
        if not self.canvas.widgetlock.available(self):
            return
        self.needclear = True
        if not self.visible:
            return
        trans = event.inaxes.transData + self.fig.transFigure.inverted()
        x_fig, y_fig = trans.transform([event.xdata, event.ydata])
        if self.vertOn:
            self.vline.set_xdata([x_fig, x_fig])
            self.vline.set_visible(self.visible)
        if self.horizOn:
            self.hline.set_ydata([y_fig, y_fig])
            self.hline.set_visible(self.visible)
        self._update()

    def _update(self):
        if self.useblit:
            if self.background is not None:
                self.canvas.restore_region(self.background)
            if self.vertOn:
                self.fig.draw_artist(self.vline)
            if self.horizOn:
                self.fig.draw_artist(self.hline)
            self.canvas.blit(self.canvas.figure.bbox)
        else:
            self.canvas.draw_idle()

In your own code:

(...)
self.multi = FigureCursor(self.figure, horizOn=True, vertOn=True, color='r', lw=1)
(...)

EDIT: the part below is my earlier attempt at answering the question

I have written a class that inherits from MultiCursor and that, instead of accepting True/False for horizOn= and vertOn= takes a list of axes on which to draw either the horizontal or vertical lines.

I found the behavior of MutiCursor a bit strange when the mouse moves from one ax to the other, but I did not change that behavior. This code should get you started if you want to modify the class further. In particular, you could override the onmove() function.

class MyMultiCursor(MultiCursor):
    def __init__(self, canvas, axes, useblit=True, horizOn=[], vertOn=[], **lineprops):
        super(MyMultiCursor, self).__init__(canvas, axes, useblit=useblit, horizOn=False, vertOn=False, **lineprops)

        self.horizAxes = horizOn
        self.vertAxes = vertOn

        if len(horizOn) > 0:
            self.horizOn = True
        if len(vertOn) > 0:
            self.vertOn = True

        xmin, xmax = axes[-1].get_xlim()
        ymin, ymax = axes[-1].get_ylim()
        xmid = 0.5 * (xmin + xmax)
        ymid = 0.5 * (ymin + ymax)

        self.vlines = [ax.axvline(xmid, visible=True, **lineprops) for ax in self.vertAxes]
        self.hlines = [ax.axhline(ymid, visible=True, **lineprops) for ax in self.horizAxes]

and in your class, create an instance:

    self.multi = MyMultiCursor(self.canvas, (axes, axes2), color='r', lw=1, horizOn=[axes], vertOn=[axes2])