We are looking at trading a sterling OIS swap (OTC) and I can't find the specifics of the conventions anywhere. People tell me that because Sonia is an overnight rate, you use the preceding rate. So the Bank publish the SONIA for the 30th March at 9am on the 31st March, it's timestamped 30th, and the market uses that as the rate for the 31st in an OIS. Is that correct? Why isn't this clearly laid out anywhere since it seems counter intuitive? All the explanations around are about how to do loans with the libor transition, not exactly how everyone does OIS today. Really appreciate any light people can shed on this, and bonus for pointing me to any documentation!
(And if that's not correct, then we don't get today's rate till tomorrow and we have a problem for our pricing timing -obviously can request a fixing lag but just trying to understand the market norms here.)