is there shopping in Shenzhen that you can walk to near the Shangri-la hotel? are there any supermarkets?

As far as I know, there are two Shangri-la hotels in SZ, so which one do you refer to?
I only lived in the one near Luohu, you can easily walk to reach Guomao area for shopping.
For Supermarket, there is a walmart near the Jinguanghua Square and you can walk at Guomao area, so you can go and have a look.