What was he eating where you bought him?
In the wild they eat sponge and algae. In captivity, you want to feed the fish a balanced diet that will provide it with the nutrients that it would find in the wild.
A well balanced pellet, PE mysis soaked in selcon and garlic, prepared angel foods and nori are just a few things that I have fed angels on the past. I currently do not own any of the pomacantharus or holocantharus species, but they are my favorites. I currently only own one small paracentropgye venusta. She/he just grazes on algae all day long. The centropyge and paracentropgye don't eat as much sponge. Mainly algae and small invertebrates.