Re question: Is there any Exchange, where you can NOT set your selling price? Obviously you can set YOUR selling price at every single Exchange on this earth?
Btc-E, Bitstamp, Gox, Cryptsy and and and...
Or maybe i just don't get the point what you mean with Exchange.
Coinbase is an exchange... you just take what they offer. (Just for example. But there are other exchanges that only do an "exchange", not "bids". Requires less effort, and gives them the ability to be a "broker" themselves. They are buying on the lowest exchanges and selling on the highest ones, but only offering you something near the middle.)