Anonymity on the Internet is a contentious issue; by some seen as an important freedom to be protected, while others argue for increased identification to protect groups at risk of exploitation. The debate reflects a dichotomous view of online anonymity; you are, or you are not anonymous. However, anonymity is a complex process played out on different levels and defined by various actors. While empirical studies show this, theoretical synthesis is lacking. This essay provides perspective on anonymity online by comparing two critical cases, online auctions and online gaming, we corroborate results from a 4-year interdisciplinary project with researchers from sociology, economics, and computer and system sciences. We argue that one should talk about anonymities in plural form, as online anonymity is not a state but a relational process. We put forth a conceptual model, which unpacks online anonymity as interdependent macro structures - legal, commercial, and technological - and micro/meso facets - factual, social group, and physical - to be used in future research.