ACR X NON ADHERENCE TO ATC INSTRUCTIONS MADE UNAUTH TURN ON FINAL APCH. PLTDEV.

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ACR X EXECUTED APCH AND MISSED APCH FOR RWY 4R AT ORD. DECLARED MINIMUM FUEL -- CLRED FOR RWY 9R APCH (NDB). ON BASE LEG FOR RWY 9R CLRED FOR VISUAL APCH TO FOLLOW TFC. SHORTLY THEREAFTER; SAW ADDITIONAL TFC APPEARING TO BE FOR RWY 9R. STARTED L-HAND TURN TO FOLLOW NEW TFC AND GAIN SPACING. RECEIVED 2 TCASII WARNINGS FROM R COMMANDING A DSCNT. NOTIFIED APCH IN L TURN -- WAS FOLLOWING WRONG TFC AND WAS BREAKING OFF APCH. THEN WE WERE NOTIFIED THAT TFC WAS FOR RWY 9L AND CONTINUE TURN TO E. DID SO AND LANDED ON RWY 9R. ATIS STATED THAT THE ONLY LNDG RWYS AT ORD WERE 9R AND 4R. NO ONE MENTIONED THAT PARALLEL APCHS WERE BEING FLOWN TO RWY 9L. NO CALLOUT OF PARALLEL TFC WAS MADE. SUPPLEMENTAL INFO FROM ACN 249830: ACR X ON BASE LEG TO FINAL FOR RWY 9R -- CLRED FOR VISUAL AND FOLLOW TFC -- NOTICED ADDITIONAL TFC TURNED L TO FOLLOW NEW TFC. WHILE IN TURN; RECEIVED 2 ADDITIONAL TCASII COMMANDS. FOLLOWED COMMANDS -- KEPT TURNING L; ROLLED OUT ON FINAL FOR RWY 9R AND LANDED. NEVER KNEW THAT NEW TFC WAS FOR RWY 9L. NOT ON ATIS AND NEVER TOLD ABOUT PARALLEL TFC UNTIL WE SAID WE WERE BREAKING OFF APCH. SUPPLEMENTAL INFO FROM ACN 249962: TFC POINTED OUT TO ACR X TO FOLLOW ON RWY 9R. WE RPTED TFC IN SIGHT AND WERE CLRED FOR VISUAL APCH. I THEN OBSERVED SAME ACFT DOING A 360 DEG TURN ON FINAL. TFC ABOVE TURNED IN TO FOLLOW. HAD TO BE LEVELED OFF TO MAINTAIN SEPARATION.