Any idea on cost of it ?
It depends. There are two versions of the exchange - one is quite simple (like btc-e). The other one is more complex - it uses high frequency matching engine, supports leverage trading and conditional orders. Also, there are two types of UI and design. Also, apart from documentation, I can provide a support from my developers on a particular time period. So, the price may vary from $35,000 for a 1.0 version of the exchange with no support and additional services, to $250,000 2.0 version of the exchange with 1 or 2 month support and some other help.
P.S. The exchange has not been running yet.