Can Malaysian get visa on arrival al Shenzhen?

Hi, my husband and I will travel to Hong Kong on 17 January to 21 January. We plan to travel 2 days to Shenzhen to get our Pre-wedding photo taken at 3V wedding. Malaysian no need visa to travel to Hong Kong, but we need one to Shenzhen. However, is it any one on arrival for Malaysian to go Shezhen for only 2 days? Hope you can help me. Thank you.

Crystal