Five bodies were found in a single-family house in Radevormwald, near the city of Wuppertal, on Friday after firefighters put out the blaze.
"The father (41) killed his wife (37), his daughters (1 and 4) and mother-in-law (77) with a knife shortly before 5 p.m.", the Cologne police said in a press release.
Investigators suspect the cause of the murder-suicide was a failed marriage. The police said the probe would be suspended, given that nothing suggested that more people were involved in the case.