I am visiting macau from 25th to 30 th Jan and would like to see the antique market in Zhongshan.

No, you cannot get a visa on arrival, so it is best to apply for visa in advance. You can take a bus or taxi to Gongbei port first, and passing the immigration, you will reach Zhuhai. At Gongbei Bus Station, you can take a direct bus to ZS. The bus fare is CNY36. Upon arrival, take a taxi to the antique market.

Thanks a lot Helen ! Is it possible to enter Zhuhai ,with visa on arrival ? I don't have time to get a visa in advance !

Oh, it's risky to get the Zhuhai VOA. You can try to apply it in Macau. Otherwise, you need to find an agency and help you.