Heat the anchovy oil in a saucepan over medium heat, stir in garlic, onions, and green pepper; cook for a few minutes until the onion softens and turns translucent. Pour in the wine, and simmer until reduced by half. Meanwhile, place the grape tomatoes, stewed tomatoes, and anchovies into the bowl of a blender; puree until smooth.
Season with salt, pepper, basil, parsley, oregano, and bay leaf. Bring to a simmer over medium-high heat, then reduce heat to medium-low and simmer for 1 hour. Season to taste with salt and pepper before serving.