OCT Bay or OCT Harbor is a popular and nice area in Futian/Nanshan border area to walk around and enjoy the scenery. There are lots of restaurants and coffee shops here as you would expect in a busy area of Shenzhen, as well as a shopping mall and ole supermarket.
There is a nightly water fountain and laser show, a modern cinema, DJI store, rooftop bar, and some interesting architecture for photographs. There are often pop up exhibitions here too such as Da vinci and Maogao Caves.
It is also very near Shenzhen Bay Park so you can combine them both easily enough. It’s a nice area to walk around
No.8, Baishi Road East, Nanshan District, Shenzhen
Shenzhen Bay Park Metro exit E