Evgeny, while you can probably make wheels do what you want, if you're interested in single file executables, you're almost certainly better off using one of the tools designed to make those easier to work with (like Twitter's recently discussed PEX format, or PEP 441).
As you have discovered, cross platform single file executables are an area where the currently published documentation is even less polished and coherent than that for the rest of the packaging infrastructure :) Cheers, Nick.
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