There are countries that will host a gambling site even if they do not have a license provided that you have an office over the server are on that region, I am not very familiar about setting up a gambling site but it only pays to get a lawyer, a lawyer can give you a sound advice and it will take care and explain all the problems that will come and how you can deal with it.
Yes, a legal advice is needed in this case, every country has their own law regarding gambling, even local lottery has their own rules and regulations needed to obey, if you want to have a gambling website online, better to prepare your files first, hire a programmer that will maintains the security of the website to avoid any problems , and to prevent hackers , in that way you can run online gambling without any issues.
Seeking professional advice for this matter should really be your first priority so that you would be aware on what are the currents laws so that you will avoid or proceed on what it would be.
When everything is cleared out and confirmed that you can make and operate on your own.Then, development is in next line and of course you should really be concern or in your top priority
when it comes to security.
Lots of gambling sites nowadays doesnt have a license but do freely operating.