Just as mentioned above, what are the two airlines you are flying? You need to have the first airline tag your luggage(s) to your final destination in order to have this work, and I don't think your first airline can tag your luggage to your final destination unless they have some kind of interlining agreement with your second airline. CX/KA and CX/AA/AS are some examples.

If they don't have that agreement, your bag will be tagged to your transit city, and I think you will need to first pickup your luggage, which is after immigration, and then re-check it.