Hi John, what I actually missing is the ability to get the bars for different periods (other than 1 day and 1 min) - some popular time frames like 1 hr, 15 mins, 5 mins, 3 mins will be good to have for day trading strategies.
But what will be a real killer feature if you would be able to provide access to let's say to all today's 5 min bars when running a daily strategy...
Another cool feature is to provide referencing of historical bars through an array, e.g. bars - current bar, bars - previous period bar, bar - bar before previous, etc.
Also, some popular CME futures (such as ES, CL, NQ, GC) and FX (at least euro, yen, cable, aussie) would be really good to have as well. Especially, FX - by adding just it you will be able to increase your community substantially as algo FX trading becomes really popular and liquidity is much higher there.
Adding ability to test with leverage would be also good to have.
Hope that helps.