Well, 'EDI' means 'Electronic data interchange'. In general, your item has been sent abroad besides, the item tracking data has been transferred to another computer (the computer of the destination country where your parcel/item will be delivered to). This happens so you can track your item through the mail website of the destination country as well.
While tracking a consignment you may also see this abbreviation, 'OTB'. It means your shipment is 'Over The Board' (ready for departure).