The forward has completed a move to the Championship club for an undisclosed fee after just one season at Upton Park in which injuries and new arrivals limited his chances
Baldock joined the hammers from MK Dons last summer after spending five successful seasons at the Satdium MK.
However, despite scoring five goals in his first six appearances for Sam Allardyce's side, injury ultimatelty limited the 23-year-old's chances, as did the arrivals of Ricardo Vaz Te and Nicky Maynard in the January transfer window, as the Hammers pushed for promotion to the Premier League.
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"I would like to thank the fans for always supporting and encouraging me," he told the club's official website.
"The fans are what make the club so special and are the driving force behind its success.
"There are some really great people involved in the football club who I wish every success for, and I also wish the team every success in the future."
The club also stated that they thanked Baldock for his efforts at Upton Park, and wished him well for the future.