  This paper studies the Glosten Milgrom model whose risky asset value admits
an arbitrary discrete distribution. Contrast to existing results on insider's
models, the insider's optimal strategy in this model, if exists, is not of
feedback type. Therefore a weak formulation of equilibrium is proposed. In this
weak formulation, the inconspicuous trade theorem still holds, but the
optimality for the insider's strategy is not enforced. However, the insider can
employ some feedback strategy whose associated expected profit is close to the
optimal value, when the order size is small. Moreover this discrepancy
converges to zero when the order size diminishes. The existence of such a weak
equilibrium is established, in which the insider's strategy converges to the
Kyle optimal strategy when the order size goes to zero.
