An idea I've thrown onto the board more than a few times is the idea of a Roman Cossack, but the idea has always been a bit nebulous even for me. (I've suggested it for greeks to, so perhaps a fairer idea is the idea of the Settled-Turned-Cossack).
What would you think a Roman Cossack would be like culturally or tactically, be it when first founded, or as they've matured? What arms would they use, and how would they adapt to the steppe.
For ease - assume they have complete support of the Emperors, and near complete diplomatic freedom outside of the Rus, the Caucasus and the Crimean Peninsula.