COMMUTER LTT HAS HDG DEV DUE TO CLRNC CONFUSION.

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FLYING AT 16000 FT MSL ENRTE FROM DAY TO MDW. UPON XING FWA VOR; RECEIVED ATC CLRNC AS HDG 295 DEGS DIRECT CGT DIRECT MDW. READ CLRNC BACK TO CTLR AS 'L TURN TO 295 DEGS DIRECT CHICAGO HEIGHTS DIRECT MIDWAY.' PF; CAPT; TURNED TO 295 DEGS. UPON RECEIVING CGT; WE PROCEEDED DIRECT. HE TURNED AN ADDITIONAL 10 DEGS L TO TRACK INBOUND TO CGT. APPROX 5 MINS LATER; ATC QUERIED WHETHER OUR HDG WAS 295 DEGS. I RESPONDED WE WERE PROCEEDING DIRECT CGT. ATC ADVISED OUR CLRNC WAS 295 DEGS RADAR VECTORS; EXPECT DIRECT CGT DIRECT MDW. MYSELF AND THE CAPT UNDERSTOOD THE CLRNC TO MEAN TO PROCEED DIRECT AND PER MY READBACK; ATC SHOULD HAVE CLARIFIED. AT NO POINT IN MY READBACK DID I ACKNOWLEDGE AN UNDERSTANDING AS THE 295 DEG HDG WAS TO BE FLOWN UNTIL FURTHER CLRNC. CIRCUMSTANCES CONTRIBUTING: 1) THIRD DAY OF A 4-DAY TRIP WITH AN EARLY MORNING SHOW TIME; 12 HR DUTY; AND GREATER THAN 7.5 HR FLT. 2) CTLR APPEARED TO BE AGITATED WITH OTHER ACFT ON FREQ; POSSIBLY TIRED AND NEARING THE END OF SHIFT. 3) ATC CLRNCS SHOULD BE CLARIFIED BOTH BY CTLR AND CREW. BY NOT REPEATING 'EXPECT' IN MY READBACK; CTLR SHOULD HAVE RESTATED HIS INTENTIONS.