Hi @xiaodai
It seems Octo’s goals are quite different, I created SQLdf just for quick interactions with Julia DataFrames, however it is also true that R/sqldf interacts with SQLite, H2, MySQL and PostgreSQL so you only need to set up your R environment to use those with SQLdf.
However, it’s better to use native Julia code when possible, that’s why I am not planning to extend SQLdf functionality beyond Julia DataFrames, and when a native Julia package allows me to interact with Julia DataFrames directly I will discontinue SQLdf.
Emacs person here, I don’t know about VScode but you can use multiple modes in Emacs though 
