I wonder where they'll get their prices from, and how closely will they be monitored?

Too high, and there could be the opportunity to bet then lay on their exchange, and/or vice-versa. And too low (bookies' prices?), a better price might be obtained on their exchange or elsewhere.

And with the often volatile price fluctuations on the exchange especially with the horses, this could be risky for them.

However, I'd be surprised if they haven't got this all figured out.