Thanks so much for your reply. The problem is that it not even goes to the payment gateway.If it does - it is easy for us to find out what the reason for the failure was. But no transaction are recored at all. Also - If i am reading the tutorial correctly the error information appears on the failure page of the person that receives the failure. This is usually at the customers and they most of the time don't call but simply purchase the product from another retailer.
The reason that we found out is that after a few customers had called us we attached an e-mail message to be triggered every time the checkout_failure.php page is loaded. So now we receive the e-mail that someone has reached the page and we check with our payment gateway whether there was a transaction declined or even recorded. Most of the time there is no transaction recorded and since it works on our side (as well as with most of our customers fortunately) we thought it might have to do with the connection at that particular time.
So I am not quite sure what to do. It's not that big of a deal yet but we of course hate every sale to go to anybody else if we can avoid it.