MySQL Connector/Python Release Notes
        
        This method sends a ROLLBACK statement to the
        MySQL server, undoing all data changes from the current
        transaction. By default, Connector/Python does not autocommit, so it is
        possible to cancel transactions when using transactional storage
        engines such as InnoDB.
      
>>> cursor.execute("INSERT INTO employees (first_name) VALUES (%s), (%s)", ('Jane', 'Mary'))
>>> cnx.rollback()