1) You can use the REST API to create an index on the fly. See http://splunk-base.splunk.com/answers/96233/create-new-index-without-restarting-splunk-indexer.
2) The problem with a specific coldPath setting is that each index will have to have its own, and if they all inherit the same setting, they'll be writing to the same folder and will thereby generate bucket collisions.
3) Try a volume setting instead. By setting volume:cold, you can then reference a handy shorthand when you create the index.
4) Combine points 1 and 3, create a shell script to issue a curl command line REST call to create a new index, and automatically populate the coldPath setting including a volume:cold (and the name of the index as supplied on the command line) to give your developers the flexibility they need.
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