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 a electronic copy of your manual.

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

I have no idea what you are trying to do but sometimes it is nice to have the manual on the computer.

What do those wires from your pellet stove do? Wouldn't feel safe making a guess until I had some idea about that.

BTW, I thought many pellets had their own tstats these days.