When this happened to me I wrote them a letter, immediately, pointing out that they were acting illegally and that I would hold them responsible for any damage from subsidence, etc. At that point they had already dug the full excavation so stopping work would have been counter productive. I also notified Building Control, with pressure from them and me the builders put supports in (which they should have done before) – fortunately the clay remained stable while they completed and backfilled everything.
In the OPs case there may be a greater risk. They are definitely illegal, whether you try asking for co-operation or go to law is up to you.