I have never considered trading directly with CME simply because other aspects of my trading demanded my attention, however my volume is growing nicely and steadily and I need to reduce my costs. I have no idea about CME direct dealings and I would be gratefull to ET members to share their thoughts.
Shop around some of the clearing firms listed at the cme website. Most of the common online brokers are a rip job on comms. Exchange fees are a fixed cost, but clearing firms can set their on comm rates. how much volume od you do?