From Harpokration s.v., citing Hyperides fr. 24 Jensen, which brings together various sources. The fullest of them -- Athenaeus, Deipnosophists 13.586 A-B (13.50 Kaibel) -- gives the names of these sisters as Stagonion and Anthis, and explains the nickname "Anchovy" (applied not only to them but to at least one other Athenian hetaira, Nikostratis) in terms of light coloring, slender physique, and big eyes.
cf. alpha 4660.