Pending transaction no longer there?

On Monday, I made a purchase with my debit card online. When I go to the website that I purchased this from, it says they are "processing" my order and it had shown up on my checking account when I checked it online as a pending transaction. I checked the bank account this morning again and I cannot see that transaction at all. It is not listed in pending transactions or in the account history and my balance is what it would have been had I not made this purchase at all. Will it cancel my order? Can you tell me what may have happened? Thank you!