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This is a sign of incomplete combustion. If not taken care of soon you have a sooted furnace requiring some serious service.
When was last nozzle change and tunep?
Then worse case is the electrode settings are not right or air mix is too light. Black smokey exhaust is too much fule to air ratio.
If you adjust the air too allow more in you will see it start to clean up. Flame shuld be bright yellow/white....not orange and smokey.
On the left side of the burner gun between the oil pump and the black box transformer is a collar that wraps around an air slot. It is under where the oil line goes into gun from oil pump. You loosen a set screw and you can turn the collar forward or backward to adjust air mix...watch the flame while doing this and you will see it either get brighter or dark and smokey.
Of course the proper way is to have a oil burner man take readings from stack in a smoke test...then the air is adjusted to efficiency.
Number one cause is air mix.