Typically in a spy novel like this, there would be the spy herself, in this case, Red Sparrow. There may also be her handlers, some other spies she has to interact with, either as allies or enemies. And there could be the targets of her spying operations, who might be politicians or other key figures in a world full of political and military secrets.
I'm not entirely sure as I haven't read it in great detail, but there is likely to be a character named Red Sparrow who is central to the story.
Well, while I don't know specifically for this novel, in general spy novels have a protagonist spy. So the Red Sparrow is probably the main character. There could be a mentor - like figure who trains her or gives her missions. And then there would be the antagonists, perhaps other spies from rival agencies or powerful individuals who she has to outwit. Also, there might be side characters like informants or bystanders who get caught up in the dangerous web of spying that she weaves.