If you go through the customs, it depends on what you sign. If it is a personal tour, you can go through customs by yourself. If you sign L, you need to find a travel comparison agency to declare. There are few people in Shenzhen Bay, and the cars of Hong Kong Stock Connect basically pass through this port. You can contact the travel agency to declare one day in advance. Many travel agencies on Taobao have this service, which costs tens of dollars.
If you want to book a hotel, you can go to Taobao, where there are many things. If you want to go shopping in Hong Kong, you'd better live near the subway station, with convenient transportation, saving money and time. The most convenient place is undoubtedly living in Kowloon near Tsim Sha Tsui. Tsim Sha Tsui subway station, Jordan subway station, Mong Kok subway station and Yau Ma Tei subway station, Nathan Road along these four subway stations is a shopping paradise, so it is convenient to live near any subway station (the boarding and alighting points of China Stock Connect are all nearby). Generally, a deposit is required, and some shops can pay by credit card, but it will be convenient to return it in cash. The deposit is basically the room rate for one night.
If it is the last train of Hong Kong Stock Connect to Shenzhen, it depends on when and where you get on the train and go back to Shenzhen. There are extra flights during the holidays. You can call for advice (400 8822 322 or 852 2230 3030). It's safer to make an appointment before going. Only Huanggang Port can clear customs 24 hours a day.
Finally, I would like to remind you that if you take the bus of Hong Kong Stock Connect, you'd better book it one day in advance. Just go to major travel agencies to make reservations. There are many guests in Hong Kong Stock Connect, so I'm afraid I can't buy the flight I want to do at the boarding point.