While you are roasting the eggplant, start the sauce. Heat olive oil over medium-high heat until shimmering. Add onion and cook until translucent. Add garlic and cook 30 seconds until fragrant. Add tomato paste, anchovy paste, and vegetable base. Mix in and cook about 30 seconds. Add dry sherry. Cook about 2 minutes. Add tomatoes and all other seasonings. Bring to a simmer and then reduce to medium-low heat. Cover. Cook, stirring occassionally, about 20 minutes.