Wikipedia has a good article on the prior CBOT buildings but they don't have these photos below which I present (remember to click on them to enlarge):
In 1865, the first permanent home of the CBOT was established in the Chamber of Commerce building at LaSalle/Washington.
Because the Chicago Fire destroyed the prior building, the follow structure was built a year after the fire in 1872 at the same location.
And the predecessor to the current CBOT building began construction in 1882 and was opened in 1885.