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Let \\(M^ n\\), \\(n \\in \\mathbb{N}\\), and \\(M\\) be \\(F_ t\\)-martingale measures on a locally compact Hausdorff space \\(\\mathbf E\\), given a filtered probability space \\((\\Omega, F, F_ t, P)\\). \\(M^ n\\) vaguely converges to \\(M\\) in distribution \\((M^ n @>v{\\mathcal L}>> M)\\) if, for all functions \\(f\\in C_ K( \\mathbb{R}_ + \\times {\\mathbf E})\\) (continuous, with a compact support),  \\[ \\int^ \\bullet _ 0 \\int_ E f(s,x) M^ n (ds, dx) @>{\\mathcal L}>> \\int^ \\bullet_ 0 \\int_ E f(s,x) M(ds,dx),\\quad n \\to \\infty. \\]  (\\(@>{\\mathcal L}>>\\) denotes the convergence in distribution.) Conditions for vague convergence are provided in terms of convergence of characteristics of martingale measures. The convergence of stochastic integrals \\(f^ n \\cdot M^ n @>v{\\mathcal L}>> f \\cdot M\\) and  \\[ \\int^ \\bullet _ 0 \\int_ E f^ n (s,x) M^ n (ds,dx) @>{\\mathcal L}>> \\int^ \\bullet_ 0 \\int_ E f(s, x) M(ds, dx), \\quad n \\to \\infty, \\]  is also studied when \\(f^ n \\to f\\) in a certain 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