The pyre was lit by Rockey's elder brother Rohit Kumar.
Kumar had emptied his entire magazine containing 40 bullets when two heavily-armed militants attacked the BSF convoy in Udhampur on August 5, saving the day for the force and safeguarding the lives of 44 unarmed personnel.
BSF Deputy Inspector General (DIG) A K Gulia, officials of the district administration and police, and other soldiers were present at the funeral.
The body was brought to Yamunanagar Last night and kept at civil hospital.
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BSF officials said the 25-year-old trooper kept the militants engaged and did not allow them to lob grenades on the bus full of BSF personnel as reinforcement reached the spot only after 20 minutes.
Rockey's colleague and driver of the bus Shubhendu Roy was also killed in the attack when militant punctured the tyres of the bus to immobilise it and then took targets to hit BSF men present inside in Udhampur district yesterday.
As top BSF officials praised the courage of the trooper, a pall of gloom had descended on this nondescript village in Haryana.
He, however, added, "My village and the entire country feels proud that he has laid down his life for the nation's sake".
Rockey is survived by father Preetpal, mother Angrozei Devi, brother Rohit and younger sister Neha. Rockey had joined the force nearly two-and-a-half years ago.