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What type of system do you have and do you know what wires currently connect to what terminals on existing thermostat?
Also let me know if you turn thermostat to SYSTEM OFF and make sure Fan is in AUTO (NOT ON) mode?
1. Wires should be connected to sub base. possibly on back side
2.Fan staying on is most likely a relay or sequencer issue,not thermostat
Look for wires connected similar to this and let me know what you find
I only got the one photo showing mercury bulbs