We model the electromagnetic signatures of massive black hole binaries (MBHBs) with an associated gas component. The method comprises numerical simulations of relativistic binaries and gas coupled with calculations of the physical properties of the emitting gas. We calculate the UV/X-ray and the Halpha light curves and the Halpha emission profiles. The simulations are carried out with a modified version of the parallel tree SPH code Gadget. The heating, cooling, and radiative processes are calculated for two different physical scenarios, where the gas is approximated as a black-body or a solar metallicity gas. The calculation for the solar metallicity scenario is carried out with the photoionization code Cloudy. We focus on sub-parsec binaries which have not yet entered the gravitational radiation phase. The results from the first set of calculations, carried out for a coplanar binary and gas disk, suggest that there are pronounced outbursts in the X-ray light curve during pericentric passages. If such outbursts persist for a large fraction of the lifetime of the system, they can serve as an indicator of this type of binary. The predicted Halpha emission line profiles may be used as a criterion for selection of MBHB candidates from existing archival data. The orbital period and mass ratio of a binary may be inferred after carefully monitoring the evolution of the Halpha profiles of the candidates. The discovery of sub-parsec binaries is an important step in understanding of the merger rates of MBHBs and their evolution towards the detectable gravitational wave window.