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1. Create script my-script.pyx
2. Create setup.py with

from distutils.core import setup
from distutils.extension import Extension
from Cython.Distutils import build_ext

ext_modules = [Extension("hello", ["hello.pyx"])]

setup(
  name = 'Hello world app',
  cmdclass = {'build_ext': build_ext},
  ext_modules = ext_modules
)

1. Compile with python setup.py build_ext --inplace