Inbound Shanghai, exiting China via Shenzhen to Hong Kong

I have a flight to Shanghai but I intend on travelling towards south and exiting China via Shenzhen to Hong Kong. I have a flight from Hong Kong to my home country.
I have all the hotels booked in China and Hong Kong, except for the train ticket from Shenzhen.
The train tickets from Shenzhen to Hong Kong is not available online to book yet. Can I still apply for a Chinese visa?