"All the day"

We don't say "all the day".

We either say "all day" or "the whole day". 
This applies to many time expressions: 

• "all afternoon" 
  • We worked on our project all afternoon. 
• "all year" usually followed by "round"
  • The amusement park is open all year round. 
• "all week"
  • I'm on vacation all week. Please contact my supervisor for help on urgent matters. 

Sometimes these expressions are followed by "long", to emphasize the length/duration of the time period or activity in question. 

BUT, we say "all the time". 
Remember "whole" is pronounced like "hole". Like "who".