Mk4 radio staying on

Just replaced my radio upgraded with a Jensen car 689 in my 2002 golf and it drains my battery even when I take the key out it stays on I did double check my ignition wire and it looks to be good and I connected it right but I did also realize that the OEM radio also stays on when I had that in my light warning does not work anymore it does not buzz when I leave my lights on please help