Martin Ryan is correct. See OED. Filling in the reference-
1877: J. Lillywhite, "Cricketeers Companion," "Having on one occasion taken six wickets in seven balls, thus performing the hat trick successfully." Thus: "the feat of a bowler who takes three wickets by three successive balls: considered to entitle him to be presented by his club with a new hat or some equivalent.

Horse-racing- The OED quotes the "Daily Chronicle," Aug. 1909: "It is seldom that an apprentice does the 'hat trick,' but the feat was accomplished by an apprentice. His three successes were gained on Soldier... Lady Carleton..., and Hawkweed.

Not able to find an early reference to a hat trick in hockey.