I want to travel Shenzhen from Hongkong same day return,please advice mode of transport.

The best mode is to take a ferry. Between Shekou Port and HK-Macau Ferry terminal, there are ferries available. The duration is about 1 hour. It is the fastest and easiest mode.

According to the regulation, you may get a visa on arrival at the border, but sometimes it is denied without any reason. To ensure your trip, it is best to apply for a China in advance.