There's two different games here, so there are different criteria for employment and admission to programmes.
One thing that has not been mentioned is grades, these are important because there is a trade off between learning as much as possible by stretching and looking good on paper. I say this because you may be tempted to do
Within the CS curriculum itself I would counsel you to learn how to program, employers expect a CS grad not to giggle nervously at languages other than Java and to know more algorithms than binary search.
That means doing "lower level" courses, operating system design not only helps you understand how to write better code it is critical to doing high frequency trading and of course this helps you grok C
Networks are also useful since that helps you understand data feeds.
You really ought to learn
C++, a CS grad who doesn't know mid level
C++ is basically just an arts grad who didn't get laid.
They will push Java at you because it's easier to teach and it's not a bad place to learn some algorithms.
You ought to do whatever course will jumpstart your SQL and some AI would not be a bad move.
One of the most valuable courses you will do in CS is whatever "theory of languages" is called at your school.
A CS grad in quant finance is expected to be a superior developer which means that you don't try the (all too common) tactic of saying "VBA is crap" when confronted with a programming paradigm you've not seen before, as a superior CS grad (the only kind that stands a chance in this game), you will be able to wing your way through functional programming (Haskell, F#), bizarre dysfunctional functional dependency graphs (large Excel workbooks), Perl or the cryptic APL based syntax of KDB.
I don't expect you to know all those to a great depth, but to beat other people this is where you need to be.
But do learn Excel VBA, as a CS you can go all the way down to callback functions, DLLs, the object model, DDE, and the entertainment of 16 bit integers in a 64 bit application. I say this because you are uniquely positioned to do something math undergrads will struggle to do....
Get a summer job in a bank as an Excel contractor.
Banks run on Excel, it's critical just below electricity and above the phones.
Their spreadsheets look like they were built by evengelicals who had decided that structure, resilience, version control, documentation and producing reliable results offended them just as much as evolution.
I believe that if you master Excel/VBA and attack the temporary staff agencies explaining your mastery you will get decently paid employment and be assigned a random position in a bank, random can include working with traders to fix their workbooks or HR keeping track of holidays, but you say "I spent the 3 summers in my education working in ML,MS,UBS doing risk and trading spreadsheets", you will be rather more attractive as a staffer and learn a whole lot.
Excel is unique amongst math or software skills in that you can get better than 80% of people who do it for a living in a couple of months, if you're good that percentile can get to 90. Unless you're stupefyingly bright, a month of
C++ or Stochastics won't get you past 10% of people who've done them.
That means there is money there and an opportunity to get start banking experience 3 years ahead of your peers and as I say above a key to success is being ahead of your competitors.