Well, there is a way to do this, but that’s not how I really wanted to.
Anyway, here goes:
Install argcomplete:
$ pip install argcomplete
Activate argcompolete:
$ activate-global-python-argcomplete --user
Add this to ~/.zshrc:
autoload bashcompinit
bashcompinit
source ~/.bash_completion.d/python-argcomplete.sh
eval "$(register-python-argcomplete /path/to/the/to/be/completed/file1)"
eval "$(register-python-argcomplete /path/to/the/to/be/completed/file2)"
eval "$(register-python-argcomplete /path/to/the/to/be/completed/file3)"
There is probably a solution for reading finished files from another file, but I do not know how to do this.