https://github.com/cryptonomex/graphene-ui
Follow this instructions to host webwallet at localhost.
If you succeed (you should, it's easy) edit some localfiles at your machine to customize gui. Just to check what's going on.

I recommend go to graphene-ui/web/app/assets/stylesheets/themes/_ol-dark-theme.scss and change some colors.

But this is only for start - you'll need some webdev badasses (javascript, css) to make nicer service.
What Openledger do is:
They are hosting web wallet at own server - this fails when load is bigger than usual.
Providing api server.
Serve as gateway ( for example you send them 1 BTC , they are issuing UIA OPEN.BTC as a proof of your deposit and take fees from all OPEN.BTC trades.
What i know, they're cooperating with Blocktrades to operate wallets - this works very nice so far.

This is all you need to run your own exchange. You don't care all that users database and trading engine stuff - blockchain take care of it.

But still you must secure users deposits and provide fast and decent servers to beat them.
I guess you'll need bunch of money (also for lawyers) and other competitors are way ahead, but if you manage to do it better then i love you :).

To learn more go to testnet.bitshares.eu and try to issue your own asset.

My understanding of Bitshares may be not accurate, actually I'm sure i don't know a lot of stuff, but i think this is enough info for beginner.