In an ideal world, there would be a Checkmarx app downloadable from Splunkbase that contains connectors or API calls for Checkmarx to get logs into Splunk.
Unfortunately there is no app for Checkmarx, so you'll have to identify the logs you would like to index from Checkmarx, then find a way to get those logs into Splunk.
I am not familiar with Checkmarx but if it has a regular "log export" setting, like a syslog output, or a webhook integration, then it could be configured to push its logs into Splunk as they are generated.
Otherwise, you will have to identify the Checkmarx APIs that get the information you are looking for, then you can configure Splunk to make regular HTTPS requests to those APIs and index the responses.
