until what time is the transportation back to hongkong from Shenzhen all mode of transportation

By train: you can cross the Luohu border and walk to Lo Wu to take East Rail line to Hung Hom. The last train leaves at 00:30.

By bus: the last one of direct cross-border coaches between SZ bay and HK downtown leaves around 23:30.

By ferry: the last one leaves from Shekou Port around 16:45.

I presume you refer to the visa on arrival and it costs CNY168. However, it is not very easy for Philipine passport holders to get it at the border, so you are suggested to apply the visa in advance.