I want to go to Hong kong from Shenzhen. I am an indian traveller. I have china residential visa.

You are eligible to the 14 days visa free policy at Hong Kong. No visa is required. You can pass the immigration easily.

Take a ferry to Hong Kong Macau Ferry Terminal from Shekou Port. The ferries depart at 07:45, 10:15, 12:00, 14:15, and 16:45. The first class seat costs HKD 180; the ordinary seat costs HKD 140. :)