Prevent sun shade pole from rotating in base
It's going to take some caution and some experimentation to arrive at a solution you can live with.

For light wind Alaska Man's suggestion seems good - tighten the wing nut/loop bolt in the base.

If you have tightened the wing nut/loop bolt as much as is practical (too much tightening will break something) and you are still getting spinning it's time to get creative.

What you have is in effect a windmill. As large as the umbrella is very little wind could apply significant torque on the pole. 

Try to find a way to reduce the wind effect:
- Angle the umbrella so that the windmill effect is reduced.
- Position the umbrella in your location so that it's protected from the wind
- Experiment with how open the umbrella is to reduce the windmill effect
- An umbrella ring can add friction and help keep the pole from spinning (link is an example not an endorsement)

If none of these things work you may have arrived at your best solution.