The following quotation is from my grammar textbook under a unit about "all" and "whole":
All day/the whole day = the complete day from beginning to end, for example:
We spent all day/the whole day on the beach.
Note that we say all day (Not all the day), all week (Not all the week) etc.
But to me, "all day" in the above example sounds unnatural. I think it should be replaced with "all of the day" because it is a definite "day" not indefinite:
We spent all of the day on the beach.