Fire arrows are an early form of gun powder rocket which were attached to a stick. The Chinese are credited with the first use of fire arrows in a military application, they may have developed fire arrows from their use of fireworks.
The Fire Arrow was the first rocket

Rocket

A rocket is a missile, spacecraft, aircraft or other vehicle which obtains thrust from a rocket engine. In all rockets, the exhaust is formed entirely from propellants carried within the rocket before use. Rocket engines work by action and reaction...

 in mechanism and design. It was made in a variety of forms and launched in diverse manners, but the first design consisted of a pouch of black powder with a stick attached; the arrows were launched from a stand of bamboo sticks.