can a chinese visa can used in Shenzen? Is there a Shenzen visa?

we are planning for a trip to Shenzhen on early January, from the Philippines we will take off to Hongkong and go to Shenzhen.
just to clarify, can a chinese visa can used in Shenzen? Is there a Shenzen visa? If there is, can it be used in Beijing?
Or the Chinese Visa covers all?