Merge pull request freqtrade#11917 from froggleston/frog-contrib-exch-1

Add short explanation of where exchange files are

Author: xmatthias

docs/developer.md

@@ -304,6 +304,13 @@ The `IProtection` parent class provides a helper method for this in `calculate_l
 
 Most exchanges supported by CCXT should work out of the box.
 
+If you need to implement a specific exchange class, these are found in the `freqtrade/exchange` source folder. You'll also need to add the import to `freqtrade/exchange/__init__.py` to make the loading logic aware of the new exchange.  
+We recommend looking at existing exchange implementations to get an idea of what might be required.
+
+!!! Warning
+    Implementing and testing an exchange can be a lot of trial and error, so please bear this in mind.
+    You should also have some development experience, as this is not a beginner task.
+
 To quickly test the public endpoints of an exchange, add a configuration for your exchange to `tests/exchange_online/conftest.py` and run these tests with `pytest --longrun tests/exchange_online/test_ccxt_compat.py`.
 Completing these tests successfully a good basis point (it's a requirement, actually), however these won't guarantee correct exchange functioning, as this only tests public endpoints, but no private endpoint (like generate order or similar).