Use whole with a singular countable noun.

He ate the whole pie.
The whole city is interesting.

Use all with an uncountable noun or a plural countable noun.

He ate all the food.
He ate all the vegetables.
All New York is interesting.
All the parts are interesting.

All of may be used instead of all or whole with a noun or pronoun.

He ate all the pie.
He ate all of the food.
He ate all of the vegetables.
He ate all of it.
He ate all of them.
All of the city is interesting.
All of them are interesting.

Whole comes after an article (a, an or the), a singular demonstrative (this or that), or a genitive word (my, his, Sara´s, etc.).

John spent a whole day in the morning.
The whole class went to the lecture.
This whole week has passed quickly.
My whole day was ruined.

All comes before the definitive articles (the), a singular or plural demonstrative (this, these, that, those), and genitives (my, his, Sara´s, etc.).

My teacher gave me all the advice I needed.
All that information turned out to be correct.
All those examples were quite interesting.
All Sara´s bothers are very short