You shouldn't need a plugin or anything special to do what you are attempting, if I'm understanding this correctly. The problem is, by including '{}', you're selling and buying instead of transferring. Leave them out instead:
2015-09-10 C "Move to wallet" ; C flags the transaction as cost transfer
Assets:Exchange -5 BTC
Assets:Wallet
2015-09-11 C "Move to exchange"
Assets:Wallet -5 BTC
Assets:Exchange
Does that work?