In a large bowl, mash together the butter and sugars with a fork until well combined. Add the oil and egg and beat until creamy. Mix in the vanilla.
In a medium bowl, whisk together the flours, cocoa powder, and salt. Add the dry ingredients to the wet ingredients and mix well. Stir in the dark chocolate, milk chocolate, and the pecans and mix well. Using a tablespoon, scoop the batter onto an ungreased cookie sheet. Bake for 12 minutes. Transfer cookies to a rack to cool.