Learn German: Ich glaube, dass wir am Abend im Stadion auftreten. - I believe that we are performing in the stadium in the evening.

In German, when you have multiple details in a sentence, time expressions usually come before place expressions. This rule is often called TeKaMoLo (Time, Cause, Manner, Place). Here, the time am Abend naturally comes before the location im Stadion.

Why is the verb auftreten at the very end of the sentence?

The word dass (that) is a subordinating conjunction. It kicks the conjugated verb to the very end of its clause. Because of this, auftreten has to wait until after all the time and place details.

The verb auftreten is separable. Why isn't the auf separated here?

Normally, you would split it in a main clause and say wir treten auf. However, because dass pushes the verb to the very end of the sentence, the prefix and the verb are forced back together into the single word auftreten.

Why do we say im Stadion instead of in das Stadion?

The word im is a contraction of in dem. We use the dative case here because the group is already at the location performing, rather than traveling to a new destination.