The investigation of the atmospheres of closely separated, directly imaged gas giant exoplanets is challenging due to the presence of stellar speckles that pollute their spectrum. To remedy this, the analysis of medium- to high-resolution spectroscopic data via cross-correlation with spectral templates (cross-correlation spectroscopy) is emerging as a leading technique. We aim to define a robust Bayesian framework combining, for the first time, three widespread direct-imaging techniques, namely photometry, low-resolution spectroscopy, and medium-resolution cross-correlation spectroscopy in order to derive the atmospheric properties of close-in directly imaged exoplanets. Our framework CROCODILE (cross-correlation retrievals of directly imaged self-luminous exoplanets) naturally combines the three techniques by adopting adequate likelihood functions. To validate our routine, we simulated observations of gas giants similar to the well-studied β Pictoris b planet and we explored the parameter space of their atmospheres to search for potential biases. We obtain more accurate measurements of atmospheric properties when combining photometry, low- and medium-resolution spectroscopy into atmospheric retrievals than when using the techniques separately as is usually done in the literature. We find that medium-resolution (R≈4000) K-band cross-correlation spectroscopy alone is not suitable to constrain the atmospheric properties of our synthetic datasets; however, this problem disappears when simultaneously fitting photometry and low-resolution (R≈60) spectroscopy between the Y and M bands. Our framework allows the atmospheric characterisation of directly imaged exoplanets using the high-quality spectral data that will be provided by the new generation of instruments such as VLT/ERIS, JWST/MIRI, and ELT/METIS.