Couldn't some of these problems be easily worked around if the popular exchanges offered an API that generated send-to addresses that would auto-sell at market?
Some do this already. With Mt. Gox, it is "autosell":
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https://en.bitcoin.it/wiki/MtGox/API/HTTP/v1#Merchant_SystemAlso, the Checkout Buttons for Mt. Gox have a checkbox where you can indicate that you would like autosell (to have the bitcoins sold at market to USDs). Here's a site using that -- see the "site-wide pass" at the bottom:
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http://chipcollection.com/webstore/ordering.html