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To build your Alliance HQ:

 1. Open the Map and tap on the "Build Alliance HQ” button. Then, find a suitable location for your HQ and tap the green tick to place it.

Or

 2. Go to the "My Alliance" tab at the Alliance Center and tap the "Build Alliance HQ" button near the top of the screen. This will take you to the map.

You can only do this after a 7 days waiting period creating a new alliance plus you need to be the Marshal.