I am Indian citizen, want to visit Hongkong soon. How to travel Shenzhen without formal Visa?

Unfortunately, the only way how you could do that is to apply and obtain a visa. There is a 5 days Shenzhen visa on arrival at three designated border crossings and a regular Chinese single entry tourist visa that should be obtained in advance. Having in mind your citizenship I would recommend you a regular Chinese visa obtained in advance because of relatively poor success rate for a visa on arrival for Indian citizens. In any case and regardless of what I have written, you can still arrive at the border crossing, Lo Wu (Luohu) preferably, and apply for a visa on arrival. I wish you the best of luck in any case.