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how could I do the following steps with arcpy:

  1. right-click on the layer with the features
  2. Label Features
  3. Convert Labels to Annotations ...

The annotions should be saved in a new shapefile.

How could I do this in python?

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The shapefile format does not support annotation. Are you looking to save them in a file geodatabase as annotations or in a point shapefile with text, angle, level, height, and symbol attributes? –  PolyGeo Jul 24 '11 at 23:06
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2 Answers

Below is a similar question to yours that was answered on this site.

Can you create labels based on an attribute field in a shapefile with Arcpy?

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You can enable labels through use of the LabelClass class in arcpy's mapping module, but I am not aware of a method for creating annotations in python. Hopefully this will be added as ESRI continues to improve arcpy functionality and integration.

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