Travel from Hongkong National Airport to Nanshan Shenzhen Nanhai Avenue (ferry)

So you will land in HKIA, right? Well, upon arriving, it is no need to go through the immigration. You can directly walk to the Arrival Level, T1 and buy the ferry ticket at the Ferry Ticketing Counter at Transit Area E2. Show your luggage tag receipt and they will help you handle the luggage. Then go to Skypier to catch the ferry to Shekou Port, which is within 4mi from your destination. After getting there, just take a taxi to reach directly. By the way, according to your timing, you may catch the 17:30 ferry.