ROLLBACK TRANSACTION ON CURSOR - sql

Question

I'm using SQL Server 2008. In my stored procedure I can't rollback transaction
on ELSE condition in WHILE.
Error:
The ROLLBACK TRANSACTION request has no corresponding BEGIN TRANSACTION.
How to rollback transaction while using cursor?
There are my stored procedure:
BEGIN TRANSACTION
IF ##ERROR=0
BEGIN
SET NOCOUNT ON
DECLARE #pjamount float,
#pjdatej date,
#pjaccap varchar(10),
#acode varchar(13),
#btot float,
#cloc varchar(10),
#dqty int,
#qtyorder int,
#qtypurch int
SELECT
#pjdatej = (DATEADD(dd, Supplier_M_Limit, Purchasing_M_Date)),
#pjaccap = Supplier_M_Acc
FROM
tblPurchasing_M
JOIN
tblPurchOrder_M ON tblPurchasing_M.PurchOrder_M_ID = tblPurchOrder_M.PurchOrder_M_ID
JOIN
tblSupplier_M ON tblPurchOrder_M.Supplier_M_ID = tblSupplier_M.Supplier_M_ID
WHERE
Purchasing_M_ID = #pjid
SET #pjamount = (SELECT SUM(Purchasing_D_Price * Purchasing_D_Qty)
FROM tblPurchasing_D
WHERE Purchasing_M_ID = #pjid)
INSERT INTO tblRepAPHistory (Depo_M_ID,
RepAPHistory_Trans,
RepAPHistory_Amount,
RepAPHistory_Date,
RepAPHistory_DateJ,
RepAPHistory_DateL,
RepAPHistory_Stats,
SetCategory_ID)
VALUES (#depoid, #pjcode, #pjamount, #pjdate, #pjdatej, NULL, 0, #cateid)
INSERT INTO tblRepTransactions (Depo_M_ID,
RepTransactions_Code,
RepTransactions_Acc,
RepTransactions_AmountD,
RepTransactions_AmountK,
RepTransactions_Desc, SetCategory_ID)
VALUES (#depoid, #pjcode, #pjaccap, '0', #pjamount,
'AP Pembelian '+#pjcode, #cateid)
IF (CURSOR_STATUS('Global','approvepj'))>0
BEGIN
SET NOCOUNT ON
CLOSE approvepj
DEALLOCATE approvepj
END
DECLARE approvepj CURSOR
FOR
SELECT Purchasing_D_Inv AS A,
(Purchasing_D_Qty*Purchasing_D_Price) AS B,
Purchasing_D_Loc AS C, Purchasing_D_Qty AS D
FROM tblPurchasing_D
WHERE Purchasing_M_ID = #pjid
OPEN approvepj
FETCH NEXT FROM approvepj
INTO #acode, #btot, #cloc, #dqty
WHILE ##FETCH_STATUS=0
BEGIN
SET NOCOUNT ON
SET #qtypurch = (SELECT SUM(Purchasing_D_Qty)
FROM tblPurchasing_D
WHERE purchasing_M_Id = #pjid
AND Purchasing_D_Inv=#acode
GROUP BY Purchasing_D_Inv)
SET #qtyorder = (SELECT SUM(purchorder_D_qty)
FROM tblpurchorder_D
WHERE PurchOrder_M_ID = #pjpo
AND PurchOrder_D_Inv=#acode
group by PurchOrder_D_Inv)
IF #qtypurch <= #qtyorder
BEGIN
INSERT INTO tblRepTransactions (Depo_M_ID,
RepTransactions_Code,
RepTransactions_Acc,
RepTransactions_AmountD,
RepTransactions_AmountK,
RepTransactions_Desc,
SetCategory_ID)
VALUES (#depoid, #pjcode, #pjaccinv, #btot, '0',
'Detil Pembelian: '+#pjcode+' - '+#acode ,
#cateid)
INSERT INTO tblRepInvHistory (Depo_M_ID,
RepInvHistory_Trans,
RepInvHistory_Inv,
RepInvHistory_Hist,
RepInvHistory_Date,
RepInvHistory_Loc,
SetCategory_ID)
VALUES (#depoid, #pjcode, #acode, #dqty,
#pjdate, #cloc, #cateid)
IF ##ERROR<>0
BEGIN
SET NOCOUNT ON
ROLLBACK TRANSACTION
RETURN
END
FETCH NEXT FROM approvepj
INTO #acode, #btot, #cloc, #dqty
END
ELSE
BEGIN
SET NOCOUNT ON
ROLLBACK TRANSACTION
END
END
CLOSE approvepj
DEALLOCATE approvepj
END
ELSE
BEGIN
SET NOCOUNT ON
ROLLBACK TRANSACTION
END
COMMIT TRANSACTION