Hi I wish to travel from Shenzhen airport to HK by high speed train/MTR rather by than by bus.

If you wish to travel by rail, you will need to take the Shenzhen metro line11 to Futian station, then change to line 2 to civic center station, and change to line 4 to Futian Checkpoint station.
After that, you will need to go through the passport checking and cross the bridge to Hong Kong, then you can take MTR East Rail Line at Lok Ma Chau station to the urban areas of Hong Kong.