I was able to get auto completion within Visual Studio Code on Windows following these settings:
“C:\Users\JamesButler\AppData\Roaming\Code\User\settings.json”
{
"python.pythonPath": "C:\\Program Files\\Slicer 4.11.0-2019-12-06\\bin\\SlicerPython",
"python.autoComplete.extraPaths": [
"C:\\Program Files\\Slicer 4.11.0-2019-12-06\\",
"C:\\Program Files\\Slicer 4.11.0-2019-12-06\\lib\\Python",
"C:\\Program Files\\Slicer 4.11.0-2019-12-06\\lib\\QtPlugins",
"C:\\Program Files\\Slicer 4.11.0-2019-12-06\\lib\\Slicer-4.11",
"C:\\Program Files\\Slicer 4.11.0-2019-12-06\\bin",
],
}