See DevPlayer’s January 1 post to this list dated Thu, 1 Jan 2015 16:34:10 -0800 (PST) I think it has all the information you need, but I haven’t tried it myself.
(I’d post the link, but I can’t seem to find the link to the post.)
How do I install wxpython Phoenix? (latest stable version)
The reason I want Phoenix is it has adv module, which has TimePickerCtrl
class.
To build it yourself you need to use the source tarballs from Index of /Phoenix/snapshot-builds as they will include both wxWidgets and Phoenix. (Or you can get them both from git but then you'll need to be sure to use the correct wxWidgets branch.) There are more details in Phoenix's README.rst. Also, although using setup.py directly will work, you will get more control over the build if you use build.py instead.