I am assuming that you want to be a software engineer at a Hedge Fund? This is an interesting article about getting a job at a Hedge Fund:
Remember, there are different levels of Hedge Funds and there are different types of software engineering jobs inside of the funds. If you want to start building automated trading systems, it will be more difficult then working on internal line of business applications.
Also ask yourself why you want to work at a Hedge Fund? Yes, the money can be good, but the typical culture in a Hedge Fund is going to be pretty different from a Silicon Valley startup or larger tech company.