There's not a lot of info about the Shenzhen SEZ Visa on arrival, but I can say that if you use the Luohu/Lo Wu port, aim to get there as they open because they don't get through many before they stop for lunch.
There’s now also 15-day visa free travel if you’re one of 6 countries: https://www.bbc.com/news/world-asia-china-67516777