COMING FROM SHANGHAI TO SHENZHEN FOR A MEETING. LEAVING AFTER TO GO TO HONG KONG

there is no train, but you either take a bus or subway to Hong Kong, which depends on which district you are in Shenzhen.
if you are in Futian or Luohu, you can take subway to Hong Kong and the last one to the ports at Shenzhen side runs at 23:00, the last HK MRT from the ports to downtown runs at 23:05 from Futian port and 00:40 from Luohu port.