For a proper design of the cryogenic layout of superconducting insertion devices it is necessary to take into account the heat load from the beam to the cold beam tube. In order to measure and possibly understand the beam heat load to a cold bore, a cold vacuum chamber for diagnostics (COLDDIAG) has been built. COLDDIAG is designed in a flexible way, to allow its installation in different light sources. In order to study the beam heat load and the influence of the cryosorbed gas layer, the instrumentation comprises temperature sensors, pressure gauges, and mass spectrometers as well as retarding field analyzers with which it is possible to measure the beam heat load, total pressure, and gas content as well as the flux of particles hitting the chamber walls. In this paper we describe the experimental equipment, the installation of COLDDIAG in the Diamond Light Source and selected examples of the measurements performed to show the capabilities of this unique instrument.