Business electricity scam - PLEASE HELP!

Please, please help me.
I have just started as an office manager at a small business.
Lots of paperwork and bills need sorting and I have been working through it.
Anyway, the electricity contract with SSE business had run out a few weeks back, and we received a letter from them yesterday saying that the contract has run out etc.

Today the receptionist gets me and says that the electric company are on the phone.
The guy on the phone tells me he is calling from SSE and our contract has run out. He quoted some rates that sound good and asked if I wanted to go ahead with renewing. Which I did.
At the end of the call he gives me his name and a number to call if I have any questions. This is the same number he is calling from. He says the new contract will be sent out etc.

After the call I go to put a note on our files and realise the number is completely different to the one I got called from... So I phone SSE business directly and they know nothing of this call.
The tell me that it is likely to be a rogue broker and there is nothing I can do to stop it other than call them back and cancel as I get a cooling off period by law.

I call the number back and a man answers saying it's a wrong number and he is nothing to do with electricity. I'm sure the voice was the same guy that I spoke to originally.

Is there ANYTHING I can do to get this cancelled? I know I agreed to a verbal contract but I believed I was talking to the real electricity company (he was very convincing).
I did not give him any bank details or personal details or account numbers. He already obviously had the company name, address etc.

I haven't told anyone yet as I am hoping there is a way I can fix it. I feel so sick because I have been so naive and I will likely lose my job if I can't sort it and have to tell the business owner.