This is the ground impact system made by Thinking Particles.When bullet hits on the ground, emitter planes are generated automatically then emit particles for FumeFX. These particles are controlled to be cone like shape using a gradient texture map. When texture is brighter,velocity of particles is going to be faster.
These cone like shape particles method is really useful to make such a impact effects.My watercolumn effect (vimeo.com/17771067) is made by same method.
In the FumeFX setting, I changed systemscale from 1 to 0.1. And set timescale from 1 to 3.I think these setting helps us to make tiny detail . In the lighting setting, I use 2 omni lights and set multiple scattering.