Preheat the oven to 350F degrees and line cookie sheets with parchment paper or baking mats.
In a large bowl beat together the oil, eggs and cake mix.
Form into balls about 1 - 1.5 tablespoons in size, and place 2 inches apart on the cookie sheets.
Flatten slightly and press down the center to form a slight indent.
Bake for 7-8 minutes or until the tops are set.
In a small saucepan melt together the butter and cocoa, until no lumps remain.
Pour the mixture into a mixing bowl and allow to cool.
Beat in the powdered sugar, followed by the milk about 1 tablespoon at a time until the desired consistency is reached.
Frost the bottom of one cookie then sandwich a second cookie overtop. Repeat with the rest of the cookies.
*Store cookies in an airtight container at room temperature.