No, Baseball fields are laid out in a variety of directions. However, early baseball rules recommended that the field be laid out with the line between home plate and 2nd base running north to south and 3rd to 1st east to west. Not sure why this was recommended, but speculate that because all baseball was played in the daytime before the 1930s, that it was preferred to have the sun setting behind 1st base so that the firstbaseman would not have a "sun in the eyes" problem on throws to first.
According to the 2012 Major League Baseball rules a baseball field is recommended to face east northeast.
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