Do Indonesians need visa to enter Shenzhen?

Hello! We are 2 adults & 2 children from Indonesia. We are staying at a hotel in Causeway Bay, Hong Kong, until 29 Dec. We would like to visit Shenzhen for one day trip. Do we need visa to enter SZ? If yes, can we get a visa on arrival at the China immigration port? What other things than Window of The World is nice to see there? We are more into museum & cultural things than shopping. Thank you in advance for your help