I have bought a case for my iPad with auto sleep/wake function and it's not working is there a setting for this?

If it's a smartcase then you should have a Settings > General > Lock / Unlock option.

In addition to what King_Penguin posted, there's a magnet embedded in the Smart Cover/Case (the part the covers the screen). The magnet controls the "Smart" feature of the cover/case. The magnet also needs to trigger the device once to enable the setting under Settings/General/ Lock / Unlock. If the setting is not there, install the case (if you haven't yet done so) and open/close it to enable the feature in Settings as mentioned above.

If the setting still does not appear after doing this, it could be that the magnet in the case is not positioned properly or simply doesn't exist. Third party cases have been known to advertise that they are "Smart" but in reality, they may not be smart enough.