我用CHttpFile测试 好像还可以, 没有长时间测试比对数据 你可以试试看
DWORD HttpRead(LPCTSTR pstrURL, CString &szReturn)
{
  DWORD dwError = 0;  
  //初始化Socket
  do
  {
    if(!AfxSocketInit())
    {
      dwError = ERROR_INTERNET_TCPIP_NOT_INSTALLED;
      ASSERT(FALSE);
      break;
    }
  
    CInternetSession session;
    CHttpFile* pFile = NULL;
    try
    {
      if((pFile = (CHttpFile*)session.OpenURL(pstrURL)) != NULL)
      {
        DWORD dwRet = 0;
        pFile->QueryInfoStatusCode(dwRet);
        
        while (dwRet == HTTP_STATUS_OK)
        {
          char szBuff[1025];
          memset(szBuff, 0, sizeof(szBuff));
          UINT nRead = pFile->Read(szBuff, 1024);
          if(nRead > 0)
          {
            szReturn += szBuff;
          }
          else
          {
            break;
          }
        }
        pFile->Close();
      }
    }
    catch (CInternetException* pEx)
    {
      //catch errors from WinInet
      dwError = pEx->m_dwError;
     #ifdef _DEBUG
      pEx->ReportError();
     #endif
      pEx->Delete();
    }    //结束清理
    if(pFile){ delete pFile; pFile = NULL; }
    session.Close();  
  }while(0);
      
  return dwError;
}  TRACE(_T("测试\n\n"));  for(int i=0; i<100; i++)
  {
    {
      CString strEcho;
      DWORD dwStartTick  = GetTickCount();          DWORD dwErr = HttpRead(_T("https://bter.com/api/1/ticker/btc_cny"), strEcho);      strEcho.Remove(_T('\r')); strEcho.Remove(_T('\n'));
      CString dbgOut;
      dbgOut.Format(_T("err(%lu) Echo=\"%s\", tick=%lu\r\n"),
        dwErr, strEcho, GetTickCount() - dwStartTick);
      OutputDebugString(dbgOut);
    }
    {
      CString strEcho;
      DWORD dwStartTick  = GetTickCount();          DWORD dwErr = HttpRead(_T("https://bter.com/api/1/depth/btc_cny\n"), strEcho);      strEcho.Remove(_T('\r')); strEcho.Remove(_T('\n'));
      CString dbgOut;
      dbgOut.Format(_T("err(%lu) Echo=\"%s\", tick=%lu\r\n"),
        dwErr, strEcho, GetTickCount() - dwStartTick);
      OutputDebugString(dbgOut);
    }
  }输出中间数据长就不贴了
err(0) Echo="{"result":"true","last": ……}0", tick=390
err(0) Echo="{"result":"true","asks": ……}0", tick=436