Baynes, who was under contract, has played 34 times for the Bay since coming initially on loan from Telford last season, and turned down an approach from Brackley Town in the summer.
A statement released by the club said:
“Colwyn Bay Football Club last week were approached by GAP Connah’s Quay regarding the transfer of captain Wes Baynes. Like all players that have signed for the club, we have promised to not stand in their way if an offer was to come in for them. We gave Wes permission to speak to them and he accepted an offer Monday evening. An agreement was reached Tuesday between the two clubs. The transfer fee reflects how highly rated Wes is and everyone at Colwyn Bay Football Club would like to thank him for his efforts during his time with us and wish him all the best in the future.”
Wes Baynes said it had been a very tough decision.
“I’ve loved my time at the Bay, but feel the time is right for a new challenge,” he said. “I hope Colwyn Bay fulfil their potential and climb the leagues again.
“I’d like to thank everybody involved at the club and who have supported the team during my time there – especially the board and chairman who made me feel at home as soon as I joined on loan from Telford.”
Meanwhile Colwyn Bay have completed the signing of 22-year-old Marsden and are hoping international clearance will be through for him to be involved against Frickley on Saturday.
Marsden, who was a prolific goalscorer for Liverpool schoolboys has had spells with Stoke City, Southport and Shrewsbury Town, after playing at youth level for Wrexham and Celtic.
He scored 21 goals in 31 games for Stockport Sports before being signed by Stoke.