1. Does it matter if we do it all the same day?
2. Do I understand correctly that we can still do the backdoor but since its already 2020 we are taxed on any gain? I may not understand this correctly.
3. Is it better for the future to just do it in the same year and not wait until the next year? So for 2020 should we contribute to our traditional IRA in 2020 and do the backdoor conversion in 2020?
1. No, but the brokerage may require a day or two for the contribution to post before you can convert it.
2. You are always taxed on any converted gain regardless of the year in which you convert. The tax liability occurs for the tax year that matches the calendar year in which the conversion takes place.
3. It's better in terms of being slightly simpler to file form 8606 which you should make sure you understand ASAP, preferably (but not required) before you do the contribution and conversion.
See
Backdoor Roth - Bogleheads for more.