@ILovePascal:
If you use a texture from a real fire explosion, it will look best.
Make it semitransparent. About half transparent in the middle and then the more to the edges of the texture, the more transparent it gets.

@Dan:
This is exactly how I do it (see above). Using semitransparent textures will makes it nearly regardless in which order the particles are displayed.
You can do the following to achieve an effect without obvious glitches:

You want to draw a fire/ an explosion at position x/y/z with a radius of r.

Spawn particles randomly in radius r around the position, defining the starting transparency more transparent dependend on the distance to the midpoint (points which are more far away are more transparent from startup).

I will show an example when we have a particle engine in DanJetX

Greetings,
Dirk