Daytrip Shenzhen

Hello,
I will be in Hong Kong from the 15th till the 19th of November and want to go to Shenzhen for 1 day (as a day trip probably).
I have a Dutch passport, do I have to apply for a visa? If so do I have to do that before going to Hong Kong (so in the Netherlands) or do I do that in Hong Kong before going to Shenzhen?

Thanks!