Request:
data.php?di=["country", "city"]
"select distinct" or "group by" query can be used to get unique values of a column from db and serialize the resultset to json.
country: [{"country": "argentina"}, ...], city: [{city: ''}, ... ]
json response from remote script can be assigned to column.filter.options, when it's received as ajax response.
grid.getColumn({ dataIndx: 'country' }).filter.options = response.country;
grid.getColumn({ dataIndx: 'city' }).filter.options = response.city;