Saturday's 3-1 loss to Newcastle at Upton Park was the latest setback in a disappointing season that has left Allardyce desperately seeking to add quality to his squad.
Defender Roger Johnson, on loan from League One Wolves, is his only capture to date and Allardyce said: "I had a terrible day (on Friday) when I thought that one player was signing for us and then I found out he wasn't."
That was Monaco striker Lacina Traore, despite the Hammers having agreed a deal with the Ligue 1 club.
They had even applied for a work permit for the 23-year-old and, following reports Everton have hijacked the deal, Allardyce admits there is little he can do.
"They can apply for the work permit now. They'd have to do a separate application obviously. If we got it, they'd know they'll get it," he said.
The Hammers boss also admitted a move for Arsenal's Thomas Vermaelen was out of their reach.
"I think under the circumstances at Arsenal, in the position that they're in, in the Champions League and cup matches, they've had to use him as soon as any of the two defenders have been injured," he said.
"So I don't think there's any chance we'll get somebody of his quality. It would be nice if I we could.
"I've had targets and I haven't got one yet apart from Roger Johnson, so I'll keep going and hope we get some."
The picture is much rosier at St James's Park, although Alan Pardew admits the transfer deadline cannot come soon enough for him as he fears losing players from his current squad.
"In all the transfer windows as manager of Newcastle I'm nervous and I will be nervous until it shuts," he said.
"I think like all Premier League clubs, everybody's for sale at some price.
"We're very conscious that we've got a good team and we're trying to keep it together and push on from where we are. We're not far behind the guys who are having such a dominant season in the top seven. We're really kind of hanging in there and hopefully we can have an impact on that."
One mane who is likely on the radars of several clubs is midfielder Yohan Cabaye, who scored twice in Saturday's win, but Pardew was giving away little over the Frenchman's future at the club.
"I don't really want to talk about it," he said. "I think that's a bit unfair after a game like this one.
"He's a class player, it's obvious, and he's had a great day for us, but I thought everybody played well in my team."