Combine flour, oats, and baking soda. Cut in shortening until mixture resembles coarse crumbs. Add sufficient water to shape dough into a roll. Wrap in waxed paper; refrigerate overnight. Cut cookie dough into thin wafers (1/8 inch/3 mm). Place on cookie sheet. Bake in 325F(170C) oven for about 10 minutes. To prepare filling, cook dates, water, and sugar on low heat for about 30 minutes; stir occasionally. Stir in vanilla. Cool. When cookies and filling are cool, spread about 1tb(15ml) date filling between two cookies. Makes 3 dozen filled cookies