Mark served 27 years in the SAS and won the Queen's Commendation for Bravery after using himself as bait to catch an IRA sniper.
The results of a post-mortem examination on Mylee are yet to be released.
He and Miss Taundry had separated some time before he moved into the one bed flat in the Brownhills area of the city where Mylee was found dead on Saturday night after neighbours allegedly heard screams.
Earlier today, Andy Nicholls, Headmaster of St James' Primary School, which Mylee attended read a statement that said: "What can I say, we're all numb, we're all in shock".
Just an hour before the events took place, Billingham posted a photo on Facebook of his daughter smiling in bed. Everyone at the school is completely devastated. Mylee was dearly loved by us all. She was a fun loving, happy eight year old who should have had her whole life in front of her. "You can't imagine it happening on our doorstep, especially when it's a little girl". "Our hearts go out to her family".
Flowers and teddy bears have been left outside the property in memory of the child. "Fly high princess into the arms of the angels.taken far too young, your pretty face we will never forget".
Police said they are not looking for anyone else in connection with the investigation.
He added: "It was a bit of a shock".
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Neighbour Graham Greatrex, 74, who lives a few doors away in the same street, said that as he helped the schoolgirl's mother she told him a man had "stabbed my little girl".
Mr Weir, 72, added that a middle-aged man lived at the now sealed-off property, apparently on his own.
Greatrex said a man had lived there for the past six months after the previous occupier, a woman, had died.
"There were police cars both sides of the road, ambulances.all sorts".
"I didn't know there were any kids in there".
"They had been together and lived apart before, but this time I think they hadn't been together for a year or two. I never saw a girl or a woman there".
It emerged yesterday that Mylee's uncle is Mark Billingham, star Channel 4's SAS: Who Dares Wins. Mark, who appears to have deleted his Twitter and Facebook accounts, said in a short statement: "Please respect my family's privacy".