When i wired mine, the installation instructions were a bit vague about that. As I recall, it seemed to indicate a wire going to the battery positive terminal. I thought, well, maybe this thing has a memory? But then there was no switched wire either. So, I wired it up to the ignition switch run position, so it will only be on when the switch is in the run position. Sounds like you have wired it up direct, and it will never shut off, eventually draining the battery.
Figure out which temrinal on your ignition switch is only hot when in the run position. Then, trace it back to a point in the wire where you can tie into it.
Tom