Keep in mind that he has 10 possible spawn locations, but the trader will only be in the first possible location that you visit. Once discovered, it will be marked on your in-game map with a big bag icon, so be sure to double-check you haven't already "found" him.

I had a playthrough a few months ago where I was pulling my hair out trying to find him, and it turned out I walked right by him just a few hours into the game. If you're not paying attention (or are distracted by, say, fighting a dozen graydwarves in the middle of the night), he's not exactly hard to miss.