Shiva Hits

Would be good to know if your build is intended for Conquest Solo, teamfight modes, etc.

In Solo, Warrior's Axe is fine but if you're looking to be more aggressive, I'd also be considering Bluestone Pendant, and going directly into Soul Eater before getting your first prot item.

Having Gauntlet of Thebes as first item is interesting, and definitely not optimal if you're in Solo, which is why I said it's good to identify the intent of the build. If it's for a teamfight mode like Slash / Joust / Arena, then okay, though perhaps for Slash and maybe Joust I would consider Prophetic Cloak instead.

I personally like picking up Gladiator's Shield earlier...often first or second item as long as the phys prots are more important than magical prots, as the CDR is extremely helpful. I would get Void Shield a bit later.

While the aura is useful for magical gods, I don't feel Void Doumaru is a core item for Shiva, as he's a physical god and he himself will get no direct benefit from that aura. Personally, I would consider more CDR...30% is a great min level for him. If you want the magical prots, consider Genji's Guard or Pridwen as it will provide those while also giving CDR.

Hydra's Lament is a functional offensive item, but I'd also consider Heartseeker or Brawler's Beat Stick later as well, depending on need.