Transactions in PGAgent Jobs

How does one deal with transactions in PGAgent jobs? I have many scenarios where I will loop through a set of data, run a function on each, and commit whatever succeeds or rollback whatever fails. In Oracle, I was doing this with pl/sql scripts run via sqlplus and cron. In Postgres, I set them up as pgAgent jobs but so far it is either committing or rolling back all. Since I cannot do any transactions within the functions being run by pgAgent, can the pgAgent step SQL contain support for them?