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In this prior post I wrote about how to call Sublime Text 3 from SSMS to allow improved text manipulation to be quickly called from an active query window in SQL Management Studio. Vscode is a newer editor from Microsoft, and the argument calls took a little work to get working. Here is what I found for having your SQL file open in vscode via call from SSMS (I imagine also works in Visual Studio 2017 this way as well).
External Tools Setup for Vscode
Title: Edit In VSCODE
Command C:\Program Files (x86)\Microsoft VS Code\Code.exe
Arguments: --reuse-window --goto $(ItemPath):$(CurLine):$(CurCol)
Please note unsaved files such as "SQLQuery11.sql" that haven't been explictly saved are not accessible to this, so it will just open an empty file. I have not found any workaround for that, as I believe the tmp files are cached in one of the .DAT files. I've not had luck finding the Autorecover or temp files with the actual contents until saved.