Luggage transit to Macao via Hong Kong airport

I've a plan to go to Macao. I haven't bought a ticket yet but very probably it will be Qatar airways via Hong Kong.

I heard that in airport there is a ferry in transit area and we don't need to go though passport control.

But what about luggage? Is there an automatic luggage transfer or something like this? Do we need to go to passport control twice for get a luggage?