Visa on arrival for Shenzhen

Most European countries are eligible for the five-day VOA. So you may get a VOA at Luohu Port. You need to fill the application form and entry card, be photographed and pay for the VOA. No other documents needed.

If you are traveling from Hong Kong to Shenzhen, you need a visa, but as you have written, you can easily obtain it at Lo Wu (Luohu) border crossing by bringing your passport and paying 275 CNY for visa issuing fee. This visa is valid for 5 days and you are allowed to stay and move just within Shenzhen city limits.

By the way, make yourself a favor and arrive at the border crossing well in advance to 09:00 because of the queues. In reality, the best, although not the cheapest way is to take the first morning ferry from Hong Kong to Shekou port in Shenzhen where you can also apply for a visa, but in much better environment because there will be far less people applying for Shenzhen VOA. Opening hours for Shekou visa office are: 9:00 - 13:00 & 14:30 - 16:30.