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Light pillars are a phenomenon that can occur when ice crystals in the atmosphere reflect light.
In this case, the reflection was caused by the cold temperatures in the region overnight Tuesday and the city lights below.
The occurrence is rare, though not unheard of.
I've seen this several times. Ironically, while driving along the edge of a major military base in Southern Ontario. Kinda makes you stop and think, doesn't it? Since this event isn't supposed to happen all that often, I can tell you I've seen it at least 8 or 9 times in the last month and a half. How odd indeed.