Can i build my own CPU then buy it? (customize cores, clock speed, cache, etc...)
Not unless you have an insane amount of disposable income.
You might try using this tool to select a processor with the number of cores you want:
Intel® Product Specification Advanced Search
Here is an example with 72 cores:
@Al Hill, i didn't mean that, i meant to say if i can make a very powerful CPU with the max cores, speed, cus the search thing dosen't have what i need.
What do you need?
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