A collodion bag is a

membrane A membrane is a selective barrier; it allows some things to pass through but stops others. Such things may be molecules, ions, or other small particles. Membranes can be generally classified into synthetic membranes and biological membranes. ...

used to filter or concentrate substances, often proteins, using pressure. It usually takes the form of a small finger shaped receptacle hooked up to a positive pressure pump. The bag has a characteristic pore size that allows small particles, like water or unbound ions, to flow out while retaining larger particles in the bag.

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