Vehicle coming from market, heading west (4)
I believe the answer is:
tram
'vehicle' is the definition.
(tram is a kind of vehicle)
'market heading west' is the wordplay.
'market' becomes 'mart' (synonyms).
'heading west' says the letters should be written in reverse.
'mart' in reverse letter order is 'TRAM'.
'coming from' is the link.
(Other definitions for tram that I've seen before include "multi-faceted yarn" , "Bus on rails" , "Car on rails" , "An early form of Luas in Dublin transport" , "Urban transport" .)