You should know your own reason why you have to start making your own exchange. It's just for business? You have seen a lot of opportunity? crypto is your fashion? There's a need to establish that in your place/country?

Will you be able to compete those big exchanges out there? These are the very few questions that came into my mind about making your own exchange. And with the legalities about building that business, it depends if your country isn't that exposing that much about crypto's it's your choice to register but as a business entity, you should have register it.