Preheat the oven to 350°F. Spray a 9 x 13 inch baking dish with cooking spray.
Place 1 1/2 cups of pecan pieces plus 16 whole pecans on a baking sheet and place into the oven.
Toast the nuts for 6-8 minutes then set aside to cool slightly while you prepare the batter.
Set aside 16 whole Rolos, and slice remaining in half.
Using an electric mixer cream together butter, brown sugar, granulated sugar, heavy cream and vanilla. Whip together for 2-3 minutes.
Add the eggs one at a time mixing well after each addition.
In a separate mixing bowl, sift together the flour, baking powder, baking soda and salt.
Lower the speed of the mixer. Add dry ingredients slowly beating well after each addition. Stop and scrape the sides of the bowl periodically.
After all of the dry ingredients have been added, increase the speed of the mixer, and beat for another 1-2 minutes. The batter will be thick.
Spread one half of dough on the bottom of the baking dish. Sprinkle with chopped pecans. Arrange chopped Rolos on top.
Dollop the remaining batter over the top. Spread evenly.
Bake for 25 minutes. Place the remaining 16 Rolos evenly spaced on top. Return to oven for 2 minutes to allow the candy to soften and melt.
After softenned, remove from oven, and gently press each with whole pecan.
Cool before cutting. Store leftovers tightly covered at room temperature.