Data extracted from software repositories is used intensively in Software Engineering research, for example, to predict defects in source code. In our research in this area, with data from open source projects as well as an industrial partner, we noticed several shortcomings of conventional data mining approaches for classification problems: (1) Domain experts' acceptance is of critical importance, and domain experts can provide valuable input, but it is hard to use this feedback. (2) The evaluation of the model is not a simple matter of calculating AUC or accuracy. Instead, there are multiple objectives of varying importance, but their importance cannot be easily quantified. Furthermore, the performance of the model cannot be evaluated on a per-instance level in our case, because it shares aspects with the set cover problem. To overcome these problems, we take a holistic approach and develop a rule mining system that simplifies iterative feedback from domain experts and can easily incorporate the domain-specific evaluation needs. A central part of the system is a novel multi-objective anytime rule mining algorithm. The algorithm is based on the GRASP-PR meta-heuristic but extends it with ideas from several other approaches. We successfully applied the system in the industrial context. In the current article, we focus on the description of the algorithm and the concepts of the system. We provide an implementation of the system for reuse.