If we r 5 adults and 1 infant....then r we able to dirctly get visa on the spot?

I am indian. We are going to shenzhen from Hongkong. we r 5 adults and 1 infant (small group). So, we need to apply in advance from India? or we can go to Lo hu metro station vai Hongkong? and that time we can get VOA for 3-4 days to stay in Shenzhen.