Unlike some of the western countries, where royal children often had four or five (or more!) names, the Russians simply had two: one was the first name, while the other was the patronym. The patronym combines a child's father's name with the ending vich for a son or evna/ovna for a daughter. Thus Anastasia's middle name was Nicholaevna - daughter of Nicholas. In keeping with the simplicity and informality in which they were raised, Nicholas and Alexandra insisted on their children being called by their first name and patronym, rather than "Grand Duchess Anastasia" or "Her Imperial Highness." In fact, the children would rebuke servants for calling them anything but their informal names - which were still a mouthful! It's little wonder they ended up shortening these even further: Olishka, Tatianochka, Masha, Nastyusha and Baby for Alexei Nicholaevich the tsarevich.
Shorter still was the acronym the sisters would often use when referring to themselves as a group: OTMA.
picture courtesy of livadia*org