Gauteng police spokesperson Capt Mavela Masondo said the four armed men tried to rob a G4S security guard at around 12.15pm.
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Masondo said a second G4S security official saw what was happening and opened fire.
One of the would-be robbers was shot in the leg. The spokesperson said nobody else was injured.
The four gunmen fled the scene in a white Toyota Conquest, which was stolen in Roodepoort in December.
Masonda said a pregnant woman was knocked down when the criminals fled. The woman was treated on scene, and her condition is not known.
A case of attempted robbery has been opened.
Anyone who has information on the whereabouts of the culprits can contact 10111.
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