I usually book directly with airline but after research it appears Expedia has best fare to my destination and will have to use different airlines- Alaska and West Jet, who do not code share.
Have not used an agency before so not sure how baggage is handled. Will Alaska check bag all the way through or will I have to claim bag in Edmonton and check in and go through TSA again?
I know I can call the airline and ask but i tried awhile ago and there was a 30 min wait so thought maybe some experienced Fodorites would have the answer

Your booking method bears no relevance on how your baggage will be handled. If you booked direct presumably you would have two bookings, one on each airline, if you book with Expedia, you will also have two bookings, one on each airline.
What you need to be careful of is making sure you are comparing like for like i.e. baggage is included in the fares you are comparing. It’s doubtful IMO that the baggage would be thru checked on separate airlines that don’t have interline agreements (interline means you need more than one airline to reach your destination which seems to be what you are doing.) but it might be worth asking the airline(s). Sometimes using PM on the airline’s Facebook or Twitter pages can get quicker answers than calling.

Alaska and Westjet have an interline bag agreement, so your bags will be through-tagged. Is Edmonton your first stop in Canada or your last? If first, you'll need to go through Canadian immigration and customs. If last, and if you're continuing to the US, you'll go through border procedures (immigration, customs) there as YEG is a preclearance site.

Thanks Garyloo- Edmonton would be where I change airlines to Westjet continuing to Saskatoon.
I. Would enter Canada in Vancouver.
A long expensive journey to celebrate sisters 93 birthday.

Did you try looking at schedule/fares on ita matrix software? Just about any airline can sell you a seat on any other airline - your ticket will need to be issued on some airline's stock, even if it is electronic. Look at the options on ita, then call one of the airlines to issue the ticket using the exact info provided by ita.

If this ever comes up again, you just want to do a quick search for "interline baggage + WestJet". WestJet and Alaska Airlines have an interline baggage agreement (so if you book a flight on both airlines on a single ticket, you can check your bags all the way through to your final destination), but they are not alliance partners.

Having said that, you'll quickly find many articles about the pitfalls of booking different airlines on the same itinerary, particularly on an OTA like Expedia. You can get a cheaper ticket, and it may appear that your full flight is booked on the same ticket, but it is often just the same itinerary (i.e., Expedia books completely separate, non-connected tickets, one on Alaska Airlines and one on West Jet). What does this mean in practical terms? It means that you may not be able to check your bags all the way through, or that you have to pay baggage fees on two different airlines, or that if one of your flights is cancelled, the other may not be, and you'll be stuck with a ticket you can't use. If you're not careful, you may not realize this until the flight is fully ticketed. This thread on Tripadvisor is a useful discussion of the pitfalls of this method and some of the unintended consequences: https://www.tripadvisor.com/ShowTopi...ir_Travel.html

An interline agreement does not mean that both airlines have to be on a single ticket. It may not be possible to have a single ticket for all airlines due to lack of ticketing agreement, There might be an agreement for baggage but not for ticketing. You don't have to have one ticket for baggage to be thru checked. With two different booking references, you should be able to give the other airline the booking reference of the other for baggage tracking purposes at the time of dropping the bags. To be sure, I would double check by contacting the first airline.

Having read some of the TA thread, the OP did not understand the difference between booking an itinerary and what they ended up with ticketwise which can be several tickets to cover a single itinerary. Would the OP on this thread been able to book the itinerary direct on Alaska Airlines including a flight on Westjet? If no, how would that differ to what they would get on Expedia?

The difference is that if one is going to be stuck with separate tickets, as that tripadvisor thread pointed out sometimes occurs on 'single itinerary' bookings with Expedia, one might as well book the separate tickets oneself directly with the respective airlines. Because by so doing one often has more control over certain key specifics, such as how much time one has at an intermediate point so as to make missing the onward leg much less likely. Granted this is most feasible for leisure travelers who are generally less pressed for time.

In the OP's place I would be apt to consider taking a mini vacation in the point of congruence between Alaska and Westjet in both directions. For example, book one ticket round trip from home town to YYZ (Toronto) on Westjet, then another ticket on Alaska that nests the Alaska trip within the Toronto trip, e..g a round trip YYZ to Fairbanks or wherever and return, with a night or two in YYZ in each direction.

This method (edited) ** could avoid connections between airlines. The main thing is that it avoids a connection at the stickiest point: after crossing the border from US to Canada on the outbound, when one must clear immigration, and before crossing the border from Canada to the US (which may involve a preclear of immigration.) It does, however, help to arrange to have sufficient time between the separate tickets, and that's where the overnights in each direction comes in. One then ends up collecting baggage by design, as opposed to by surprise, and furthermore, one can arrange to have enough time to do it without a William Tell overture scenario in the airport.

*** oops, I see OP would be going via Edmontron not Toronto, but the same principle applies. Except, no offense to Edmontonians, I prefer Toronto as a mini vacation stopover to Edmonton. Still, an overnight there coming and going could relieve a lot of stress.