You can do it by dividing the circle up into multiple circular sectors (aka pie slices) and drawing each one in a different color. The tricky part doing it with turtle graphics is setting the initial position and heading (or direction) of the turtle to be at the start of the arc of each one. Also, unlike with the case with a full circle, you need to manually close the figure before filling it by drawing the final line segment from the end of the arc back to the center of the circle.
While this could be calculated mathematically, doing that is avoided in the following code by remembering, for all but the first sector, where the previous one left off and using that as the starting position and heading for the next. Fortunately for the initial one, these values are relatively simple to compute: the position is set to the (circle_center x value + radius, circle_center y value) with a due North heading of 90°.
import turtle
colors = ['#880000','#884400','#888800','#008800',
'#008888','#000088','#440088','#880088']
def draw_color_wheel(colors, radius, center=(0, 0)):
slice_angle = 360 / len(colors)
heading, position = 90, (center[0] + radius, center[1])
for color in colors:
turtle.color(color, color)
turtle.penup()
turtle.goto(position)
turtle.setheading(heading)
turtle.pendown()
turtle.begin_fill()
turtle.circle(radius, extent=slice_angle)
heading, position = turtle.heading(), turtle.position()
turtle.penup()
turtle.goto(center)
turtle.end_fill()
draw_color_wheel(colors, 150, center=(25, 50))
turtle.hideturtle()
print('done - press any key to exit')
turtle.onkeypress(exit)
turtle.listen()
turtle.done()
Result