Enter Shenzhen (5 days) from Macau by ferry Australia passport. Can get china visa on arrival?

I cannot guarantee that you will definitely get a Shenzhen visa on arrival. But the chance will be greater if you have an onward ticket leaving China. A previously used China visa will be of great help too. BTW, a Shenzhen visa on arrival will allow you to stay in Shenzhen only for up to 5 days.
I'm not clear about the opening time of the visa issuing office at Shenzhen port. But the Luohu port opens very early in the morning and closes late at night.
Actually, you can easily obtain a regular China tourist visa in Macau through the travel agency CTS or the Visa Office of the Commissioner of the Ministry of Foreign Affairs of the People's Republic of China in Macau to avoid the possible trouble.