What would you do if you knew your partner was cheating?

I’m in a very hard spot, My boyfriend is very much cheating on me with his ex girlfriend, long distance, He’s still dating her, and I know because I am friends with someone she speaks to on a regular basis, So I know everytime they speak and what they speak about, I also know he has seen her a few times when she visits because of pictures on his computer, I’m not a complete snoop, More of trying to protect myself I suppose. I also know he is with another women, Not dating but more of a casual sex relationship, He goes to her house in my car, and I am never invited, I live with him and his parents if it matters, So when he goes out I stay home with his parents. He doesn’t go out every night, maybe once or twice a week but when he does go and I’m not invited I know what hes doing. Anyhow I’m 4 months pregnant, I feel very alone and I’m not sure what I can do to better this situation, Anything I saw is a lie to him because he wont admit anything, I’d like to say I want to leave him but I don’t, I want to raise this baby together and be a family but how can I get through to him?