Below are next steps. You can contact your bank first, three below, before filing the online reports. But the first step is to document everything for your records. Organize everything in Word or some type of document to show proof of this scam.
1) Take screen shots of everything - all chat conversations, all trades, their website and any other information needed to document this scam. Eventually they will block you so it's best to document everything now.
2) File online reports with the following:
FBI via IC3
FINRA
FTC
CFTC (Commodities Futures Trading Commission)
Attorney General for the State you live in
Global Anti-Scam Organization (GASO) - they have free live chat on their website to help all victims
www.globalantiscam.org
3) If you wired funds from your bank, contact your bank and report their bank account as fraud. Ask your bank to start the recall process. If you sent crypto to a wallet, contact the exchange and report their wallet as fraud.