Harley Quinn, played by Margot Robbie, is locked up in Arkham, and we see Joker, played by Jared Leto, in his mansion mourning her absence.
How the circle of knives represents Harley in the mind of the Joker is up for debate.
Harley wanted a normal family with Joker hence the baby in her vision.
From his explanation, it is clear that Ayer had a solid backstory and reasoning behind the script for Suicide Squad, which unfortunately did not translate very well to the big screen.