The larger fear is always trading against a more informed player than yourself.
of market direction +
to act/react timely to capitalize on momentum. This includes taking into account unexpected volatility of flash crashes, news announcements, etc.
In your example, yes, it is possible to already hold a position on your books OR be obligated to hold a position (resting limit order, minimum avg daily/monthly volume requirements, etc), and then get caught in a sharp price move, resulting in individual trade losses. But part of inventory management that @pteetor eludes to requires that you strategically hold losing positions until you can offset them at a net gain (see loss leadership). So it is common for market makers (stated or de-facto) to use some sort of cost averaging so that they spread the risk out over several trades. Maybe this screenshot will help illustrate:
In theory, it is unlikely that the market will go to "ZERO"; so the fundamental value must eventually revert. But remember SNB? It's the holding of the positions in between reversions that could be "scary" and requires proper risk management.