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I'm about to create an exchange and I want to trade ether on it. But I'm quite confused of how to handle my clients' wallets.

I see that some exchanges like Poloniex receive the ether in my deposit address and withdraw it to their cold wallet, ok, but how can I implement this on my server?

Is there an easy way to automatically create new user's account and redirect its transactions to my cold Ethereum wallet?

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You can write javascript code to open accounts and start transactions to your cold wallet. Basically you install a Ethereum node (for now geth is the best alternative here) on your server and interface your exchange program with web3 scripts that you can attach over ipc or json-rpc to the node.

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