Don't let record_variables be used after initialize.

zipline/MESSAGES.py

@@ -37,4 +37,10 @@ Please use PerShare or PerTrade.
 You attempted to override commission after the simulation has \
 started. You may only call override_commission in your initialize \
 method.
+""".strip()
+
+    CALL_RECORD_VARIABLES_POST_INIT = """
+You attempted to register recorded variables after the simulation has \
+started. You may only call record_variables in your initialize \
+method.
 """.strip()

zipline/algorithm.py

@@ -286,6 +286,9 @@ class TradingAlgorithm(object):
         if isinstance(names, basestring):
             names = [names]
 
+        if self.initialized:
+            raise Exception(MESSAGES.ERRORS.CALL_RECORD_VARIABLES_POST_INIT)
+
         self._registered_vars.update(set(names))
 
     @property