A transaction in PayU can be in one of 4 states: NEW, PROCESSING, SUCCESSFUL and FAILED. SUCCESSFUL and FAILED are both final states that cannot be changed.
Once a setTransaction has been completed the transaction will be in a NEW state. When the user has redirected to PayU to complete the transaction the state is changed to PROCESSING. After the payment or stage has been completed the state will change to SUCCESSFUL.
In the case of a doTransaction for a FINALIZE, the transaction will go almost immediately from the NEW state to PROCESSING when PayU go off to the external payment gateway to perform the payment. Upon receiving the response from the external payment gateway the state is changed to SUCCESSFUL or FAILED.