Heat oil in a heavy saucepan. Add onion seeds, aniseed, fenugreek, mustard seeds, cumin, bay leaf, and chilies. Fry, and then add all vegetables and stir. Add turmeric and chili powder and fry for 5 minutes.
Add sugar, milk, and water. Add salt to taste. Mix well, and then cover and cook over medium heat until vegetables are tender and liquid is absorbed.