Can I get a Chinese Visa at the train station in Shenzhen coming from Hong Kong side.

I will be staying in Hong Kong for 5 days, I haven't decided yet whether I would like to go shopping in Shenzhen or not. I am a South African citizen, and have visted Shenzhen 4 times before. If I catch the train from Hung Hom station in Hong Kong to Shenzhen, can I apply for it at the Chinese border post if I decide to do a day trip for shopping.
Many thanks