Youy forgot the blue wire.
If the new thermostst has no place for the blue wire you have the wrong thermostat.
Could it possible be that you did not READ the instructions?
Just in case you tossed them out here is another on. Please read this one.
http://customer.honeywell.com/techli...0s/69-1800.pdf
I believe the stat is for on stage heat which means it will not work on a heat pump with aux heat.
Here is a note from the instructions
Note: These thermostats are not compatible with heat pumps or
Multi-stage systems
I wonder sometimes.