Correct way to handle exceptions when working with database

Question

When I am executing a simple query (I am using tornado.database module) I handle exceptions like this:

try:
    self.application.db.execute('DELETE FROM table_one WHERE a = 1')
except Exception, e:
    logging.warning('DB exception: %s' % e)
    self.set_status(500)
    return

If I want to do a transaction though, it would be smart to rollback it in case of exception:

try:
    self.application.db.execute('START TRANSACTION')
    self.application.db.execute('DELETE FROM table_one WHERE a = 1')
    self.application.db.execute('DELETE FROM table_two WHERE b = 2')
    self.application.db.execute('COMMIT')
except Exception, e:
    logging.warning('DB exception: %s' % e)
    self.set_status(500)
    self.application.db.execute('ROLLBACK')
    return

But what if rollback will cause an exception too (e.g. if connection fails)? Do I need to put a nested try-except block inside of the except block?

Answer 1

Placing a nested try ... except block in except block is a solution. But I would go for using finally:

try:
  ...
except ... :

finally:
   # cleanup (close the connection, etc...)

I mean if the rollback failed, there is pretty much nothing else to do then log the exception and cleanup, right?