When I worked at an HFT shop broken trades were the bain of our existence. We had parameters to screen for trades that would probably be broken, but sometimes they would be broken outside of those. The way it works is either party to a trade can request the trade be broken, it goes to a mediator, and both sides make there case. It usually only takes a few minutes, but you can lose a bundle in that time especially if you were selling as the price is dropping, think you're flat only to have your sale broken.
