We originate from CLE on American, have a layover in London Heathrow where we change to British airways to our final destination of Copenhagen- since British Airway is codeshare airline will our bags go directly to Copenhagen or must be pick them up in London and recheck them??
I assume this is a single ticket (you bought a journey from CLE to CPH in one transaction). Your bags will be checked through to Copenhagen. You will not need to collect your bags in London. The baggage allowance applied on all sectors will be that of the transatlantic carrier (AA). On the return the same is true.