Philippine Passport Holder VOA to Shenzhen

Sorry to tell that you have a high risk of being refused, so I advise to apply for a tourist visa at HK visa center.

Formally, the citizens of the Philippines are eligible for 5 days Shenzhen VOA, but their success rate in obtaining one is not exactly the best. In other words, you are free to approach visa office at Lo Wu / Luohu border crossing and to apply there, but you have to be ready to be rejected without too much explanations. To conclude, I would suggest you to obtain a regular, tourist visa in advance that will allow you to enter China without doubts and to visit the entire country and not to be limited to Shenzhen city limits only.