Starting today, you can add python dependencies to AWS Glue Python Shell jobs using wheel files, enabling you to take advantage of new capabilities of the wheel packaging format. Previously, you were only able to add python dependencies using egg files to AWS Glue Python Shell jobs.  

from Recent Announcements https://aws.amazon.com/about-aws/whats-new/2019/09/aws-glue-now-supports-wheel-files-as-dependencies-for-glue-python-shell-jobs/