This paper studies the coordination of heterogeneous thermostatically controlled loads (TCLs) to provide the real-time ancillary services. A market-based control framework is adopted for its advantages. The first advantage is that the demand curve-oriented approach makes it possible to form a unified control scheme for heterogeneous loads without identifying their different characteristics. The second one is that the broadcast price signal helps simplify the downlink control and reduce the implementation cost. Then, the separate demand curve construction strategies based on a virtual price for different types of TCLs are presented. The flexibility of each TCL is reflected through the curve, and its practical constraints, i.e., comfort requirements of users and operation constraints of devices, are satisfied explicitly. To ensure the control fairness and full utilization for the regulation ability of TCL cluster, a comfort-level-equality principle is applied in demand curve construction. Simulations are carried out to verify the effectiveness of the proposed method in providing frequency regulation services, for which a regulation capacity estimation method is developed. Finally, a series of case studies are conducted considering the practical situations, e.g., model errors, imperfect communication and sudden load change after the end of services.