Consider a function that implements a transfer between two accounts:

CREATE FUNCTION transfer_funds() RETURNS void AS $$
try:
    plpy.execute("UPDATE accounts SET balance = balance - 100 WHERE account_name = 'joe'")
    plpy.execute("UPDATE accounts SET balance = balance + 100 WHERE account_name = 'mary'")
except plpy.SPIError as e:
    result = "error transferring funds: %s" % e.args
else:
    result = "funds transferred correctly"
plan = plpy.prepare("INSERT INTO operations (result) VALUES ($1)", ["text"])
plpy.execute(plan, [result])
$$ LANGUAGE plpython3u;

If the second UPDATE statement results in an exception being raised, this function will report the error, but the result of the first UPDATE will nevertheless be committed. In other words, the funds will be withdrawn from Joe's account, but will not be transferred to Mary's account.

To avoid such issues, you can wrap your plpy.execute calls in an explicit subtransaction. The plpy module provides a helper object to manage explicit subtransactions that gets created with the plpy.subtransaction() function. Objects created by this function implement the context manager interface. Using explicit subtransactions we can rewrite our function as:

CREATE FUNCTION transfer_funds2() RETURNS void AS $$
try:
    with plpy.subtransaction():
        plpy.execute("UPDATE accounts SET balance = balance - 100 WHERE account_name = 'joe'")
        plpy.execute("UPDATE accounts SET balance = balance + 100 WHERE account_name = 'mary'")
except plpy.SPIError as e:
    result = "error transferring funds: %s" % e.args
else:
    result = "funds transferred correctly"
plan = plpy.prepare("INSERT INTO operations (result) VALUES ($1)", ["text"])
plpy.execute(plan, [result])
$$ LANGUAGE plpython3u;

Note that the use of try/except is still required. Otherwise the exception would propagate to the top of the Python stack and would cause the whole function to abort with a PostgreSQL error, so that the operations table would not have any row inserted into it. The subtransaction context manager does not trap errors, it only assures that all database operations executed inside its scope will be atomically committed or rolled back. A rollback of the subtransaction block occurs on any kind of exception exit, not only ones caused by errors originating from database access. A regular Python exception raised inside an explicit subtransaction block would also cause the subtransaction to be rolled back.