I am trying to connect a honeywell CT87k to a pellet stove. There are only two wires coming from the pellet sove. When I connect the red to red and white to white nothing happens. Connect the red to red and white to yellow the unit will not shut off. I don't know what setting should I use on the back of the thermostat it has two switches . Both off is factory settings

Here is your thermostat manual.

http://customer.honeywell.com/techlit/pdf/PackedLit/69-1959EFS.pdf

When you touch the two wires together that come out of the stove exactly what happens?

Do you have a diagram of the stove wiring?