Baggage transfer in transit flight with 2 different tickets?

hi, i have 2 separate tickets from malaysian airlines, one from chennai to kualalumpur and the other from kuala lumpur to jakarta. I want to know if my luggage would be directly transferred to my transit flight in kualalumpur. or what should i do , i i want my luggage to be transferred from the chennai flight to the jakarta flight in kuala lumpur.