Since your environment is not clustered, you will want to create the index on each indexer. You can do this via the UI or from the CLI. Look at the Wiki below:
Splunk Web:
In Splunk Web, navigate to Settings > Indexes and click New.
To create a new index, enter:
A name for the index. User-defined index names must consist of only numbers, lowercase letters, underscores, and hyphens. They cannot begin with an underscore or hyphen, or contain the word "kvstore".
The index data type. For event data, click Events. This is the default data type.
The path locations for index data storage:
Home path. Leave blank for default $SPLUNK_DB/ /db
Cold path. Leave blank for default $SPLUNK_DB/ /colddb
Thawed path. Leave blank for default $SPLUNK_DB/ /thaweddb
Enable/disable data integrity check.
The maximum size of the entire index. Defaults to 500000MB.
The maximum size of each index bucket. When setting the maximum size, use auto_high_volume for high volume indexes (such as the main index); otherwise, use auto.
The frozen archive path. Set this field if you want to archive frozen buckets. For information on bucket archiving, see Archive indexed data.
The app in which the index resides.
The tsidx retention policy. See Reduce tsidx usage.
For more information on index settings, see Configure index storage.
Click Save.
CLI:
Edit indexes.conf
To add a new index, add a stanza to indexes.conf in $SPLUNK_HOME/etc/system/local, identified by the name of the new index. For example:
[newindex]
homePath=
coldPath=
thawedPath=
...
For information on index settings, see Configure index storage and the indexes.conf spec file.
Note: User-defined index names must consist of only numbers, lowercase letters, underscores, and hyphens. They cannot begin with an underscore or hyphen, or contain the word "kvstore".
You must restart the indexer after editing indexes.conf.
https://docs.splunk.com/Documentation/Splunk/7.3.1/Indexer/Setupmultipleindexes
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