My wish-list:
  1. Simple fundamentals: DPS, EPS and NTA etc
  2. Historical share-split data.
  3. Directors' ID on all Directors' trades.
  4. Daily short-selling data.
I know some of the above are available via web page, but API access would be so much more reliable.
Also, I find the error rate in the available data to be high. Yes I know - "use at own risk..." but the value of all MI data is limited if it has to be cross-validated, and even when large errors are detected there is no recourse available, not even to help correct the data for the benefit of others.