This happened as a cold front came down from the north west. It was quite active in a number of places, producing some torrential rain (eg in Milton Keynes) and some strong gusts of wind, probably up to 60 or 70mph in places. In Cheltenham, a small tree was blown down in the main shopping area and some market stalls damaged.
It wasn't a monsoon, a hurricane or, before anyone says it, a tornado. It was a squall associated with a cold front.
Dramatic, though, as you say - I'm glad you and your daughter survived unscathed!