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Rotkehlchen has a common exchange interface class seen [here](https://github.com/rotkehlchenio/rotkehlchen/blob/85cd33e2953273087bd2ee504f9c2bd9ed0adcba/rotkehlchen/exchange.py).
To add bitmex (or any other) exchange to rotkehlchen all that needs to be done is implement that interface for the new exchange.
A good example of how to do that can be seen in the [bittrex](https://github.com/rotkehlchenio/rotkehlchen/blob/master/rotkehlchen/bittrex.py) class.
Then in all the places where bittrex is used you should also add the new exchange.