Hotel prices in Hong Kong fluctuate by circa 2x based upon what trade show happens to be in town that day. Changing your dates could cut your hotel cost in half. Staying in Shenzen and commuting to Hong Kong is a crazy strategy for lots of reasons. You certainly cannot get this kind of multi-entry visa at the border, and as pointed out some nationalities, including US, cannot get any visas issued on the spot at the border crossing but must apply in advance.