Hong kong to Shenzhen Transit Passenger.

I have the China Visa but I don't have the entry visa of Hong Kong. I am flying from Indigo Air line to Hong Kong and would like to travel Shenzhen/Macao by Ferry. So I cannot to go through HK immigration and pick up your luggage. Will our luggage transfer in ferry from transit area. and same will be from Shenzhen to Hong Kong airport at the time for back to India. Or any other services for transit passenger to Shenzhen/Macao from Hong kong Airport.