You can build one just as effective as one you buy. What you have to figure out is it worth your time. Steel is high right now and they are buying in large quantity and getting big discounts. Building a single chute will not get you a break in material. You'd also have to look into what style chute/headgate you'd want and copy the design. Before I bought mine, I even went to the point of putting sketches together, designing locks, etc. Then I put a pencil to it and figured I'd be building it for about $150 less than I could buy it. I figured I had better things (like building the alley, etc) to spend my time on and just spent the money. I figured it'd take me most of my spare time for a month to build a good squeeze chute.
What you decide is up to you. You know what materials are available to you at reasonable cost, what you have around, what you can get for free and what kind of spare time you have to devote.
What ever you decide, good luck.