With the development of integrated energy system and the deepening of power market reform, the production and marketing of power and heat are getting closer. Building a healthy and efficient market has attracted more and more attention. Firstly, a combined power and heat market is constructed based on Stackelberg game theory. The independent energy trading center is responsible for organizing transactions between energy suppliers and users and clearing the market. Then, based on the proportional sharing principle, a nodal heat price calculation method is proposed considering production cost and pump operation cost. The thermal loss occurred in the transmission is considered by modifying the thermal demand function of users. An interactive iteration algorithm is proposed to solve the optimal equipment output, nodal power price, nodal heat price and integrated demand response. Finally, the detailed solution process is shown in the case study, which reflects the validity and practicability of the proposed model.