There are many different types... Nearly all incorporate a finely powdered chemical for oxygen, like potasium perchlorate - together with something that burns, like charcoal, cornstarch, or powdered aluminum. Sulfer, or something with sulfer in it will increase the speed of the reaction. Finely powdered metals burn quickly with an oxydizer, or perhaps explode. Larger "flake" metals provide showers and sparks. Plastics that contain chlorine add intensity to color. Copper oxides provide greens and blues. Other metallic oxides and nitrates provide colors such as red or yellow. Ingredients are commonly mixed in a ball mill. This device works much like a rock tumbler. For show type fireworks, the mixes are then wet with an alcohol mixture, then rolled into "stars." Stars look like round beads of dried chemical mix. These are put into "shells," and fired out of mortars.

For more info, check out a book such as "Introductory Practical Pyrotechnics," Availible Here: http://www.skylighter.com/mall/books.asp

See also, the link below...
Source(s):
http://www.westernpyro.org/

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