Go the plaza where Magister Civilium of Roma stays.
From there, southwards from you should be governor's mansion, prison and tavern.
On the very opposite side from them (that is, northwards from Magister) should be, outside columnade a sign of merchant shop and door to him nearby few crates (if I recall correctly).
Go there and you should find your merchant.

One trick is that you have to come during business hours. Otherwise you just get a "door is locked" message.