[lorenkg]

When I have sex, in some positions I get a sharp pain in my anus and lower abdominal pain, I also get this pain during my period.

[joypulv]

(I'm going to assume that you aren't having anal sex unless you say otherwise.)

Any abdomen, especially a woman's, is full of fairly loose organs flopping around to some extent, such as the uterus going side to side or inverting front to back, and changing shape, such as during menstruation, and the bladder filling with urine and the bowel with feces, and trying to go places they aren't supposed to go, such as the intestine going down the opening at the leg.
SO
Nerves get pinched. That's the most common explanation, and it's often almost impossible to know which one(s) of countless smaller nerves are being irritated.

Mostly what a woman has to do is stay healthy and exercise, so that her muscles hold her organs in place as much as possible. Many of us know what happens as we age, and all of that sags. Prolapse (falling) happens as bladders and uteri fall right out of the vagina, or partway. Exercise has been the cure for many complaints around the abdomen, including incontinence.

Having said all that, a gynecologist can examine you for something like an anal fissure or cyst, and do a pelvic exam and ultrasound for cysts and fibroids and so on, because they can press on nerves too.

If nothing is found, and exercise is no help or it hurts, you join the club of many women who have 'pain of unknown etiology' which means they can't find the reason. It could be a nerve that is just passing through from the back or above the abdomen to the leg or elsewhere.
This is what happened to me - I felt pain with any pressure on my inside thigh, making sex difficult, and the left side of the pubis hurt too (still does, without sex). Turned out to be my left sacral nerves. Took over 35 years to find this out.