I don't mean a real one but some type of planet like thing that I could put ants on to live there.
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With large earth-moving equipment, actually making the planet itself would be expensive, but feasible. However, getting it into space, and getting yourself onto it would be a much more difficult matter. If you want to leave earth, consider buying tickets for a ride on spacex's dragon capsule, in my opinion, the most realistic interplanetary travel solution available.
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How about just putting your ants in an ant farm so you can watch them lay eggs and eat each other. After a day or two you will likely be back here asking what's the best way to get rid of an ant farm.
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Asteroid is in some way a planet, but it's to small to have an atmosphere.
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You mean like a globe? Would be hard for ants to crawl all around due to gravity.