Pc Sharon Beshenivsky, 38, died after being shot in the chest while attending a robbery in Bradford. Her colleague, Pc Teresa Milburn, 37, was also shot and injured.
Several streets in the centre of Bradford were cordoned off on Friday and Saturday as police began investigating the shoooting at a travel agents.
Armed police on guard hours after their colleague was fatally shot. She was wearing body armour which provided limited ballistic protection, but the bullet penetrated her chest.
As police continued to examine the shooting scene, they also announced five people had been arrested in London in connection with the shooting.
Friends of Pc Beshenivsky were among many to mourn her death, which happened on her youngest child's fourth birthday.
Messages of sympathy were left near the scene. Police and community leaders were among those to express shock at the killing.