Do I have to get my visa in advance from India or can I get a visa on arrival to Shenzhen?

Hi, I am travelling from India to China as tourist for 3-days visit to SHENZHEN. I will reach Shenzhen from MACAU. My question is whether I have to get my Visa ready from my country India, or when I am entering Shenzhen from Macau at that time I can get visa during migration check. I am travelling with my wife, son and little daughter. Please guide me so it will be big relief from tension.

Best Regards.
Bimalendu Saha, India