According to Robert Massie:
"At Livadia in 1911, to celebrate the sixteenth birthday of her oldest daughter, Grand Duchess Olga, the Empress gave a full-dress ball. Before the dance, Olga's parents gave her a diamond ring and a necklace of thirty-two diamonds and pearls. These were Olga's first jewels, intended to symbolize her coming into young womanhood."
Since she was 16, and 16x2=32, I'm strongly inclined to believe this is the necklace she'd been accumulating stones for since her birth. (As Ritka mentioned above). I would have sworn a pearl and a diamond were added each year. I'm quite certain I ran across a passage somewhere about Alix's frugality and/or difficulty with changing court traditions, that referenced the issue of accumulating jewels for the girls' necklaces. On the other hand, I know I've seen photos of the girls in which they're quite young, wearing very short pearl necklaces, like Lanie mentioned. (And Lanie's rarely led us astray!)
Unfortunately, I'm away from home with only FoTR & Nicholas and Alexandra to refer to. I'm suspicious the passage I'm thinking of might be in Greg King's bio of Alix...
Sm