You don't need a visa to Hong Kong if you will stay there for less than 14 days. You need to apply for a China visa to Shenzhen, it is possible for you to apply for a visa on arrival at the entry port of Shenzhen, the special visa is valid for 5 days at most. You can't use the visa to enter other parts of Mainland China besides Shenzhen. However, it is advisable to apply for China visa in India. Maybe the visa on arrival is denied.