~snip~
You did not mention what country you are in, and why they do not have regulation, in that case, you can proceed in setting up because you cannot be questioned for having any license since there is no regulation in your country.
You should be more concern about getting a good host for your site since many web hosting are not accepting gambling sites in their server.
^ This is more serious business, a good thing if OP hires a lawyer for that because they have much further knowledge when it comes to law implementation. Well, here are some places that gambling is legal, (Nigeria, Australia, Belgium, Canada, France, Germany, Gibraltar, Hungary, Ireland, Italy, Liechtenstein, Macau, Malta, New Zealand, Panama, Philippines, Poland Russia, Scandinavia, Singapore, Spain, and Switzerland). So if where is the nearer country you are then, you can choose those names of countries above. Just only a suggestion, choose the country that has a huge number of gamblers since your having business relating gambling.