PLEASE READ Many physicist say that the measuring device collapses the electron wave function because it is firing photons in order to measure the electron position. So, what collapses the electron wave function is how the photons interact with the electrons. So does this mean that when we go outside in the sun or turn on a light that they cause the wave functions of OUR electrons to collapse?
How the collapse works, we don't know, there are theories and theories. We believe that the interaction with the macroscopic apparatus is what collapses the wave-function. But if this is all the truth behind the collapse, we don't know.
We have reasons to believe that the collapse is a non-local phenomenon, and that our macroscopic apparatuses interact only locally with the particles that we prepare according to certain wave-functions. So, there may be something more to be said about how works the collapse.
There is also a certain interpretation (Many-worlds) that claims that there is no collapse, but I spoke here only about what we know about our world.