Depleted Uranium bullets. Anti-Armor. Not cheap.
Not Obsidian. It's not glasslike. It has some evidences of melting down before, which means it could be either volcanic rock, metiorite, or high-carbon iron. (However, there is no rust on these rocks)
When it is cracked open is is shiny black, but looking at angles of any of the broken faces may reflect anywhere from orange to indigo light from a white light.
I might send it to a university nearby that can run chemical tests.