Two winters ago in the winter of 2007 Johan Santana came onto the trade market. Naturally the Yankees were rumored to make a trade. The Yankees felt pressure to make the deal because the Red Sox had just won the series. But Cashman didn't want to make the deal so Santana went to the Mets.
Despite the Yankees spending binge this winter on Teixeira, Burnett, and CC, the Yanks have continued to not give up quality prospects. Trading for Halladay would take at least one and probably two top shelf prospects, especially since it would be within the division. The Yankees are an aging team now with Posada, Matsui, Pettitte, and Rivera probably retiring in two years. That would be the same year that Halladay becomes a free agent.
Mid-season trades almost never work too. The Yankees don't need Halladay, and they shouldn't go for Halladay. Keeping the young kids is much more important, and will lead to another dynasty like the late 1990's.