Prep: Preheat your oven to 350°F. Spray a 9x13 inch baking pan with cooking spray. Set aside.
Make the cake batter: In the bowl of your mixer add the chocolate cake mix, eggs, milk and vegetable oil. Beat on medium for 2 minutes until well incorporated. Pour the cake batter into prepared baking pan.
Bake: Bake the cake for 30 to 35 minutes or until cooked through. Insert a toothpick in the center of the cake, if the toothpick comes out clean the cake is done. Let the cake cool completely.
Make the rumball mixture: Remove the cake from the baking pan, and crumble it up in a big bowl. Add the powder sugar, rum, cocoa powder and the chopped pecans. Mix well. Initially you may think there's not enough moisture, but as you mix it, it will all incorporate really well and you will be able to roll rumballs.
Assemble the rum balls: Start rolling, the rumballs should be just a little over an inch in diameter. I usually just use my clean hands, but you may find a cookie scoop may make this easier. After you rolled them between your hands, roll them in the coconut.