What genre is my book?
Question: It's set in Ancient Rome and has historical elements, though it doesn't really mention anything of importance that would classify it as "historical fiction". It has a secret organization and will become a series later centering around the organization. Is it fantasy or historical fiction? I don't know, because it doesn't really center around the historical part, but more around the organization.
From this brief description, your book is definitely not historical fiction in the pure sense, since the focus is not on history. The time period is just the interesting backdrop you have chosen for the story.
Again, from this description I also probably couldn't call it fantasy, since there is no mention of magic, fantasy creatures, or alternative physics.
The mention of a secret organization suggests that it may be a type of thriller, though this one detail isn't a lot to go on. Usually in thrillers, the main character has expertise in a certain field which they use to defeat a villain. For example, in an espionage thriller the hero is usually a trained spy. In a crime thriller, the hero is an professional police officer, etc.
If the main plot is essentially an espionage thriller, then you could tack "historical" onto that label so potential readers would understand it is an espionage thriller with a historical setting. If there is also magic involved, you could similarly tack "fantasy" onto the label as well. (These days, there are so many subgenres and cross genre stories the labels sometimes get a little unwieldy.)
If you are writing a query letter to an agent or publisher, I would be tempted to not name the subgenre. Simply provide a brief hook/synopsis. From that, the reader should get a good sense of the genreblend.
If you are self-publishing, I would try to find similar books to yours on amazon and see what subcategories they are listed under. Just bear in mind that amazon categories are not always the same ones used by publishers or librarians.
Best of luck.