I "think" this has been posted before, but i had some different ideas on it.
Leading your own trade caravans
Construction
To make your own trade missions first you have to make a wagon. A wagon could be built like a building, first being designed, and then built with a few materials. Once built the wagon would "come alive" since it's technically a unit. Your wagons idle at your trade depot until used.
Preparation
once your wagons are built, you could assign goods to be loaded in them them through the view units menu. wagons have a load limit. There would be two new labors, Wagon driver, which is self explanatory, and a Foreign trader, who heads the mission. Wagons could be assigned together as a convoy to leave and travel together. last of all you can assign caravan guards to protect from goblin ambushes along the way.
Travel
Once your wagons are ready, they can be sent to any friendly civ known by your dwarves. you don't actually see them travel but if they are attacked, the game lets you know with a message "Caravan 1 has been attacked by goblins on the way to [civ]" and then tells you damage such as "Wagon 3 was destroyed and Uristmcswordsdawrf Uristmctrader and Uristmcwagondriver were killed" or "the entire caravan was destroyed!".
Trade
once you arrive, you will see the trade menu with whatever goods the civ is trading displayed to you. You then trade like normal, and could even work out import export agreements so you bring more valuable stuff next time.
Return
Once done trading you will return to your fortress, with your newly acquired goods and leftover trade goods on-board. There would still be a chance of attack on the way back especially if you were at war with someone.
Note*
you would have to give your traders food and alcohol for the journey. Otherwise you would receive a message "UristMcdawrf cancels job LEAD TRADE CARAVAN, insuficent food/drink for the journey"
Also there are lots of "FUN" things you could add to this. I'm sure you could think of some.