Insurance refuses to cancel policy without proof car was sold - even though I sent settlement and proof of payment and Tax invoice from dealership

I have been with Affinity for many years and they were very unhelpful when I wanted to change my car, eventually I sorted it out and phoned them on Saturday 29th May for a coverletter for my new car. They required a tracker which I did not want to fit, so I went with the other insurance, I requested a cancelation of my policy on Saturday 29th at 9am before I dropped my vehicle off to trade it in verbally and by email and I received a confirmation from them that they received. However, they are still taking premiums and say they cannot cancel unless they have a letter from the dealership signed and stamped. I have sent them proof of settlement by the dealership and I have sent them the tax invoice they still refuse to cancel my policy. The dealership say all the documents are with their head office and they dont see why they must do a letter and get it signed and stamped because they have never heard of an insurance company requiring proof to cancel a policy when it is our right to cancel and change insurance as we need to better suite our needs.