What precisely is “Signing” with Ledger on most platforms (i.e. Opensea + MetaMask)?

Hi folks,

Very often we are asked to Sign messages, OpenSea is a good example.

It doesn't trigger anything on-chain (there's no transaction ID whatsoever), can you please let me know exactly what is hapenning when I'm signing a message hash?

What information is exchanged between my wallet and OpenSea?