Hi, I am coming to Shenzhen and i also want to go to Hong Kong is it possible?

So your travel route is Shenzhen - HK - Beijing, right? Well, MTR connects HK and Shenzhen. It can be a good way go travel between. You need to go through the immigration at Luohu border to Lo Wu, HK and transfer to the East Rail Line. For going to Beijing, direct flights from HKIA are available.