Hi, I will visit Hongkong, Macau and Shenzhen. DO I need to apply visa for Macau and Zhenzhen ? If yes, can we apply when we are in Hong kong ? How much does it cost?

What is the best route from Hongkong- Macau-Shenzhen-Hong kong or Hkg- Macau- Hkg- Shenzhen- Hkg. As I do not know how long it will take from Hong Kong to Shenzhen or Macau to Shenzhen.

I will be appreciate for your advice please.