Answered by ZUPAN | Oct. 15, 2019 10:00
You are advised against a try to obtain a Shenzhen VOA when you land in Shenzhen. Trust me, you will be, almost for certain denied boarding in Singapore and you will find yourself in a huge problem because you will lose your money and also all your plans will collapse.
Recent practice by Chinese immigration authorities indicated that Malaysian citizens are eligible for any type of VOA only in case if they have been granted a Chinese visa previously. Anyway, this is valid only for arrivals overland, from direction of Hong Kong and/or Macau. Please, don't count to obtain a Shenzhen visa by arriving by air. Do yourself a favor and obtain a Chinese visa in advance.
By the way, the cost for a Shenzhen visa for Malaysian citizens is 168 CNY.