As per your information :
1) you had protected sex, by protected I assume a condom was used..
2) he didnt ejaculate near you
3) you had your periods just a day late from the expected date
All the above three, especially the third peice of information leads me to believe that you are not pregnant. Periods can start late or can occur early too due to anxiety
. If you still are really concerned you could buy a self pregnancy
test and test yourself at home which would help you ease your anxiety.
You should stop worrying for sure.