Density fitting scheme is applied to the exchange part of the Kohn-Sham potential matrix in a grid-free local density approximation for infinite systems with translational periodicity. It is shown that within this approach the computational demands for the exchange part scale in the same way as for the Coulomb part. The efficiency of the scheme is demonstrated on a model infinite polymer chain. For simplicity, the implementation with Dirac-Slater Xalpha exchange functional is presented only. Several choices of auxiliary basis set expansion coefficients were tested with both Coulomb and overlap metric. Their effectiveness is discussed also in terms of robustness and norm preservation.