Hi there.
I am wanting to make my own exchange.
Can you tell me some requirements I need to have in order to make one?
Do I need any legal documents in order to make my exchange?
Well it depends in which country you are currently living, different countries have different rules and regulations.
As for other things, you need trust worthy developers, plus you need to have high enough trust in the Bitcoin community, no one will trust you with their funds.
I will recommend you to stay out of it, it's not a newbie friendly business.