As the daughters of the Imperial Couple of Russia, Olga, Tatiana, Maria, and Anastasia lived a closely guarded lifestyle. It was rare that they were actually given the chance to play with their Imperial or Royal Cousins, and instead were most often in the company of the servants and their families. Being so sheltered from the Aristocratic Society that ruled St. Petersburg, they depended on each other for friendship, comfort, support, and trust. The girls were closer to each other than most other Imperial and Royal sisters. Each knew she could never come to the Russian Throne.
Everyone in the nursery eventually knew that each Grand Duchess was meant to be married off, and that hopefully at least of two of them would be married into the head of other Ruling Families. The thought of being apart from each other horrified the sisters, for each felt a strong bond and a sense of duty to their homeland and to each other. When they were young, they proclaimed their unity by inventing a single signature to represent all four girls, OTMA, using the first initial of their names. They shared everything: their hopes, dreams, thoughts, and fears, as well as clothing and jewelry. Source: www.livadia.org
Full size of the colorization here.