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Ms Akter was taken to hospital after being stabbed several times in Westgate at the junction with Drewton Road at 3.20pm on Saturday. She later died from her injuries.
The baby is safe and was not harmed in the incident, police said.
West Yorkshire Police has referred itself to the Independent Office of Police Conduct because officers had contact with Ms Akter before her death, a force spokesperson confirmed.
A 23-year-old man arrested in Cheshire on suspicion of assisting an offender remains in police custody.
"We understand that this has caused a considerable amount of concern in the local community.
“Local neighbourhood policing teams are patrolling the area conducting reassurance to the community. We would like to thank Thames Valley Police for their support and assistance in this matter.”