Hong Kong to Shenzhen Visa

Hello,
I am a EU citizen and plan to travel to Hongkong for 1 week. I would also like to visit SZ for 1 day (no overnight stay). I have heard that there is a SZ Visa, which is easy to get and is valid for about 5 days if I am not mistaken. Can anyone tell please me, where this Visa can be acquired? Thanks!