Is it possible to tie product price with warehouse.
For example I have different stores(warehouses) and same product has different prices that depend on warehouse I use.
More general question:
Is it possible to extend price "entity" with custom attributes (except built-in start/end date, sale type...)
Out of the box, Commerce does not support pricing per warehouse - which I believe is not a common requirement to add support in current version. The solution I'm thinking is that set customer pricing code for each price with the code of the warehouse, then you can filter price by warehouse. This is not the best way to do, but somehow it can fit your need.
Commerce 7.5 provides IPriceService, which allow you to add some custom implementation for the price handling. You can create a custom class which implement this interface and then register it in your initialization module.