You don't need a visa to work remotely for a US company if you're doing the work while in Canada (I have a couple Canadians on my team).
Really, it just comes down to payroll, insurance and benefits... that's where the complexity is. Taxes are easy, you pay income tax as usual in Canada under the reciprocal tax treaty (taxes are the government's main concern around working in another country).
In this case, that would get complicated since they want you to be in Chicago sometimes. So, they'd need to figure out the payroll, insurance and benefits and you'd have to get an E1 visa. An E1 "trader" visa lets you work onsite in the US (but you can't live here). An E1 visa can be arranged for about $6000 CDN.
Not sure why the downvotes. I've had a few different US Visas, a work authorization card, a green card, and I have Canadians working on my team now. I know how this all works and if you have any questions I'd be happy to help you figure it out.
Another Canadian in Toronto. Its not hard for US companies to work with remote Canadians but there is a perception that taxes, payroll, insurance is hard when its not. Its frustrating because the US dollar has more buying power so they can get higher quality developers at a lower rate.
