im holding working visa in Macau and a Philippine passport holder

Hi, I'm afraid you cannot get Shenzhen VOA, and you can apply for a tourist L type in Macau for that.
First, prepare your passport and copy of its data page, the application form, a passport-style photo, your Macao residence permit, round trip air tickets and hotel reservation. Next, submit the application to the office of the Commissioner of the Ministry of Foreign Affairs of PRC in Macao.