Daytour in Shenzhen coming from HK tourist

Dea, you will need a visa, definitely. You can obtain a Chinese regular visa in advance (before your arrival in the south China region) that is recommended because the citizens of the Philippines have relatively mixed success rate in obtaining a Shenzhen visa on arrival.

So, you can decide to obtain a Chinese visa in advance and enter China for certain or to rely on a Shenzhen visa on arrival that can be obtained at Luohu border crossing. If you plan to obtain a Shenzhen visa on arrival at Luohu border crossing you will have to be aware that you could be rejected, so a risk of this kind is real.

If you decide to go after a Shenzhen VOA, you should arrive at Luohu border crossing at least at 08:30 in the morning because the visa office opens at 09:00. All you need is your passport and the visa price is 130 CNY that should be paid by a card. After your stay in Shenzhen you can return back to Hong Kong by taking any border crossing and also any mean of transport, high speed train included.