Actually, you are not a bandit Cold. You are an undercover officer.
You impersonate a long-dead bandit Cold to uncover the crew with the boss. You installed some bugs (listening devices) in the crews headquarters and told the time and the place of the robbery to the chief of police.
How it all happened:
It started smoothly. At 2 a.m. you left the van on the wasteland and walked to the entrance of a mansion. There was no security. You broke down the door, cut the pictures out of frames and put them into a tube.
The police were late and arrived just at 2.15 a.m. Soon Tough
grabbed the tube and bounced outta there through the backyard with Prickly. Sticky rushed after them. Then Wet. You and the rest fired back (you warned the officers about this in advance).

Reinforcements have arrived to help the police. You and Salty bounced outta there through a kitchen and a bedroom. Acrid stood behind to cover you.
Near the van you saw hard-wounded Sticky, inside the van - wounded Prickly. There was no tube. You and Salty helped Sticky to gen into the van and drove away.
Passing by the construction site you noticed fainted Tough. You brought him to consciousness and helped to enter the van.
Your aims:
Find out where the tube with the pictures is (otherwise everybody will be killed even before the arrival of police)
Kill an undercover officer
The bandits will find out that they have been betrayed. They will be looking for a rat. Convince the rest that the undercover officer is somebody else, not you! He will be killed and you can help the police to arrest the rest.
If information about Colds death comes up, tell everybody that he was your grandfather.
If you are not killed at the end of the game and the tube will be found, when the host says "Bloody hell! The police have come!" you can stand up and say loudly "Gentleman, you are under arrest".