I have a trend following market maker in a highly volatile market (XBTUSD) which makes its money from uninformed trades over a short time horizon. Sizing my bids/asks has always caused me to question my methodology. Currently, I'm just using a fixed leverage allocation weighted by the kelly criterion over a window of recent P/L such that it adjusts downwards in periods of bad performance.
I have experimented with measuring the current 'rate' of uninformed trades (which I took to be the volume/s of trades going in the wrong direction by some number of ticks, over a recent window of trades), but found that it lags behind the market, resulting in less variance P/L, but overall less ROI.
What is the best practice here?