fly in HK, fly out Shenzhen

We are Filipinos with Philippine passports. Husband and I together with our toddler will travel to HK in December and cross to Shenzhen after a couple of days in HK and fly out from Shenzhen going home to the Philippines. Husband and I have had Chinese visas before but it’s baby’s first time. Will we be eligible to apply VOA upon exiting HK and entering Shenzhen? And is it okay to fly out from Shenzhen to the Philippines? Would appreciate your answers. Thank you.