There is no transfer window in the EIHL.
From what i understand though clubs can't sign players after a certain date - i believe this is some point mid-late February(?) someone correct me if i'm wrong though as i don't want to look it up.
in the NHL - there are transfer windows that are roughly - off season - and end of January -> End of Feb (again that's not an exact science on my part)
there’s a “gentlemen’s agreement” in place in the EIHL that means clubs can’t approach players from other teams to sign, but in the EIHL there’s also the frankly crazy rule (or at least generally accepted convention) that a player can’t sign for another EIHL club if he leaves through his choice, but can if said player is “released” by a team. This is where compensation comes in, and i'm guessing MK -> Sheffield already have a decent relationship with Shudra being on loan there.
Effectively though, this does mean that come February when MK are stone last, out of contention for anything, Sheffield & MK could "trade" (similar to a loan spell) some of their top players to close out the season in Sheffield to help them win some silverware.
We've never seen this in the EIHL, but it is entirely feasible, and happens in the NHL to some extent, players will be traded vs draft picks to help a team on a play-off run when they themselves are out of the running (effectively then it's a win-win for both teams) Sheffield sign Wallace mid February on a 6 week contract, pay MK for the privilege... Wallace is a free agent at the end of the season, that sort of thing.
Again though "Gentleman's agreement" is a very vague term and means nothing.