Preheat the grill to 375°F. Use only half the burners to cook, and place your cookie sheet opposite the lit burners.
In a large bowl, cream together shortening, butter, and sugar, and beat until light, about 2 minutes.
Add egg, milk, and vanilla, and beat for another minute.
Combine flour, salt and baking soda and add to the creamed mixture. Mix until just blended. Stir in chocolate chips and pecans.
Drop big heaping spoonfuls onto a non-greased baking sheet, spacing well apart. Bake 10 minutes until golden in colour, but still appearing moist. Let cool on the sheet for 2 minutes then transfer to a wire rack to finish cooling.