Air Carrier inbound to ORD initiated a turn to the Runway 4R localizer; the turn was issued to another preceding aircraft with a similar flight number.

Narrative

We were receiving vectors and on a downwind for the ILS 4R at ORD and there was another aircraft ahead of us on the approach with a very similar flight number. Both the PF and PM heard a clearance with our flight number to turn to intercept the localizer and the clearance was read back with no correction from the Controller. As the turn was being made we heard the other aircraft read back the same clearance and we realized that it was in fact meant for them. The PF immediately disconnected the autopilot and turned back to our original heading. We received a momentary TA as we were turning but it only lasted a few seconds. ATC did not say anything about our deviation and moments later issued the same clearance to us. The other flight read back the same clearance we had just read back and upon receiving the TA we realized that the clearance was in fact not meant for us. We and ATC were confused by the similar flight numbers and there was a breakdown in communication as a result. Autopilot was disconnected and we promptly returned to our original course. Both the flight crew and ATC should be more vigilant when there are similar call signs in use and ATC should should immediately provide clarification when someone accepts the wrong clearance.