Alexander the Great (Greek: Megas Alexandros;) July 20 356 BC–June 10, 323 BC)...Before his death, he conquered most of the world known to the ancient Greeks.
http://en.wikipedia.org/wiki/Alexander_the_Great
189 BC: Antiochus III, king of the Seleucids, is defeated at the battle of Magnesia and surrenders his possessions in Europe and Asia Minor.
(This is when the Hellenistic empire established by Alexander fell and became Roman.)
http://www.scaruffi.com/politics/romans.html
At the time of Alexander Rome was a small group of minor city states on the italian penninsula. Not a major trading power and not an empire. It is doubtful that India knew much of the Romans at the time of Alexander's unsuccessful invastion of India.
From the article:
"The Periplus of the Erythraean Sea calls it of “leading importance” describing it: Muziris, of the same kingdom, abounds in ships sent there with cargoes fromArabia, and by the Greeks"
No mention of Roman ships. After 189 BC perhaps, but probably not before.
Nevertheless the record such as it is from Persia identified everything to the west as Roman. They also identified Alexander as Christian, which might shed some light on how close they were paying attention.