Create new-exchange.md

doc/development/new-exchange.md

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+# Adding New Exchange
+
+Open an issue and paste the following checklist to that issue. You should send multiple small pull request to implement them.
+
+**Please avoid sending a pull request with huge changes**
+
+## Checklist
+
+Exchange Interface (minimum)
+
+- [ ] QueryMarkets
+- [ ] QueryKLines
+- [ ] QueryTickers
+- [ ] QueryOrders
+- [ ] QueryTrades
+- [ ] SubmitOrders
+
+Convert functions:
+
+- [ ] MarketData convert functions
+  - [ ] toGlobalMarket
+  - [ ] toGlobalTicker
+  - [ ] toGlobalKLine
+- [ ] UserData convert functions
+  - [ ] toGlobalOrder
+  - [ ] toGlobalTrade
+  - [ ] toGlobalAccount
+
+Stream
+
+- [ ] UserDataStream
+  - [ ] Trade message parser
+  - [ ] Order message parser
+  - [ ] Account message parser
+  - [ ] Balance message parser
+- [ ] MarketDataStream
+  - [ ] OrderBook message parser (or depth)
+  - [ ] KLine message parser
+  - [ ] Public trade message parser
+- [ ] ping/pong
+- [ ] heart beat integration
+- [ ] handling reconnect
+
+Exchange Factory
+
+- [ ] Add the exchange constructor to the exchange instance factory function.
+- [ ] Add extended fields to the ExchangeSession struct. (optional)