Telegram bot – How to handle conversations?

I am trying to learn to make a telegram bot but I am not sure how to achieve continuous conversations. All I know is how to respond to the individual messages, for example like this –

If a user enters wrong command, for example /jnaddaad

def unknown_response(update: Update, context: CallbackContext):
update.message.reply_text(
    "Sorry I can't recognize you , you said '%s'" % update.message.text)

My use-case is simple –

1. User enters his country using /addcountry command.
2. After the country, I will as ask what city is he from, and he should be able to answer using /addcity command.
3. After city, he should be able to enter the addresses(multiple) using /addaddresses
4. I save everything in a database – username, country, city and addresses.
5. User can update/delete one or more addresses.

Note:- User should not be directly able to enter city without country, and addresses with city. So the flow should be addcounty -> addcity -> addaddresses. And without the previous steps, user should not be able to access current steps.

I can probably be able to do 1 and 4. I just want a direction on how can I achieve the asked. Do I need to maintain a database with user and current user’s username and steps they have performed till now, or is it possible with python-telegram-bot?