Visa on arrival at the train / bus station?

I have both US and Indonesia passport. I'll transit to hongkong on my way to Indonesia and plan to travel to Macau by ferry, stay for 3 days, then go to Guangzhou by bus, stay for 3 days and lastly travel by train to Shenzhen and stay 1 night before going back to hong kong and continue my flight to Indonesia. I was used to be able to get visa on arrival but I heard that regulation has now changed. Please advise.