You must setup postgresql-server-dev-X.Y, where X.Y. your's servers version, and it will install libpq-dev and other servers variables at modules for server side developing. In my case it was
apt-get install postgresql-server-dev-9.5
Reading package lists... Done Building dependency tree Reading state information... Done The following packages were automatically installed and are no longer required: libmysqlclient18 mysql-common Use 'apt-get autoremove' to remove them. The following extra packages will be installed:
libpq-dev Suggested packages: postgresql-doc-10 The following NEW packages will be installed: libpq-dev postgresql-server-dev-9.5
In your's case
sudo apt-get install postgresql-server-dev-X.Y
sudo apt-get install python-psycopg2