This VFX effect was made in Unreal Engine 4 using Niagara. I created a ninja smoke bomb effect to be used in the VR game Swords of Gurrah! Check out the game here: https://store.steampowered.com/app/833090/Swords_of_Gurrah/
This is the reference that I used for the ninja smoke bomb particles. I added a flash effect, sparks, and smoke to mimic the real bomb shown in this video.